The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences
研究了国际房地产相关证券是否比外国股票提供额外的多元化收益，发现多元化收益主要由未预期回报驱动，且部分受汇率风险变化影响，即使对冲货币风险，国际房地产证券仍提供一些额外收益。
International real estate related securities are investigated to see whether they offer any incremental diversification benefits over foreign stocks using mean‐variance analysis together with a multifactor latent variable model. Diversification benefits are found to be primarily driven by unanticipated returns which are partially driven by changes in exchange rate risk. Although exchange rate risk accounts for a larger portion of the return fluctuation in real estate related securities relative to common stocks, international real estate securities provide some incremental diversification benefits over common stocks even if currency risks are hedged.