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The unsung impact of currency risk on the performance of international real property investment

Addae-Dapaah, K; Tan Yong Hwee, W; (2009) The unsung impact of currency risk on the performance of international real property investment. Review of Financial Economics , 18 (1) pp. 56-65. 10.1016/j.rfe.2008.04.002. Green open access

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Abstract

The paper revisits the currency risk debate to ascertain the statistical significance of currency risk on the return of international real property investment, especially in a period of increased exchange rate volatility. After statistical analyses of the returns of a portfolio of office investments in seven Asia Pacific cities over the 1986 to 2007 period, it was found that currency risk had a statistically significant positive impact on the performance of the portfolio of office investments. This is confirmed by the results of stochastic dominance test. If the results of this study are verified by subsequent studies, and the past reliably presages the future, they would imply that investors holding portfolios of real property investments in the sample markets might not need to be unduly concerned with currency risk.

Type: Article
Title: The unsung impact of currency risk on the performance of international real property investment
Open access status: An open access version is available from UCL Discovery
DOI: 10.1016/j.rfe.2008.04.002
Publisher version: http://dx.doi.org/10.1016/j.rfe.2008.04.002
Language: English
Additional information: Copyright © 2008. This manuscript version is published under a Creative Commons Attribution Non-commercial Non-derivative 4.0 International licence (CC BY-NC-ND 4.0). This licence allows you to share, copy, distribute and transmit the work for personal and non-commercial use providing author and publisher attribution is clearly stated. Further details about CC BY licences are available at http://creativecommons.org/licenses/by/4.0. Access may be initially restricted by the publisher.
Keywords: Currency risk; Asia Pacific; Portfolio; Investment; Return; Real property
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of the Built Environment
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of the Built Environment > The Bartlett School of Planning
URI: https://discovery.ucl.ac.uk/id/eprint/1530076
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