Foreign real estate security investments for Japanese investors

Mori, M. and Ziobrowski, A. J. (2006) Foreign real estate security investments for Japanese investors. International Real Estate Review, 9 (1). pp. 1-22. ISSN 1029-6131

Abstract/Summary

Foreign real estate investment funds have recently been added to the practical investment opportunity sets of ordinary Japanese investors. This paper analyzes the additional diversification benefits of U.S. REITs and Australian listed property trusts (LPTs) for Japanese investors who already hold Japanese, U.S., and Australian financial assets while considering different risk definitions in a mean-lower partial moment (MLPM) framework. The study uses data from August 1994 to July 2004. The impacts of currency adjustment and risk definition on the diversification benefits are examined. Our results suggest that the additional diversification benefits of U.S. REITs and Australian LPTs can be obtained only in very limited cases by Japanese investors.