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Currency risk and office investment in Asia Pacific

Addae-Dapaah, K; Young, GL; (1998) Currency risk and office investment in Asia Pacific. Real Estate Finance , 15 (3) pp. 67-85.

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Abstract

The exchange rate risk of a single foreign country office investment can be substantial, as currency conversions can reduce foreign currency-denominated return by 10,200% and amplify risk by about 580%. However, the impact of currency volatility on return and risk is statistically insignificant. The potential gain from international office property investment diversification is substantial. The hypothesis that currency risk has a significant impact on the return from a fully diversified international office investment is rejected. The relatively low positive correlations, and even negative correlations between exchange rate returns and unadjusted office returns, vis-a-vis the relatively low positive negative intercountry correlations of exchange rate returns and office returns, enable movements between the exchange rate returns and a fully diversified office portfolio return over time to provide a natural hedge against exchange rate volatility.

Type: Article
Title: Currency risk and office investment in Asia Pacific
Publisher version: https://lrus.wolterskluwer.com/store/products/real...
Language: English
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/1530147
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