Addae-Dapaah, K;
(2017)
International Portfolio of Real Estate Investment and Hedging: A Revisit.
Archives of Business Research
, 5
(4)
pp. 124-145.
10.14738/abr.54.3100.
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Abstract
We use office data from ten cities in the Asia-Pacific region from 4Q2001 to 2Q2012 to propose a forward-looking investment appraisal framework to compare the effectiveness of two currency risk hedging strategies for a portfolio of real estate investments in ten cities of seven Asia-Pacific countries. This is aimed at determining the optimal choice among “unhedged”, “artificially” hedged and “natural” hedged options. Analyses based on NPV, IRR, Sharpe Ratio, Jensen’s alpha and stochastic dominance were done for 3, 5 and 7-year holding periods. All the results show that the “natural” hedge strategy is the optimal choice as it provides superior returns.
| Type: | Article |
|---|---|
| Title: | International Portfolio of Real Estate Investment and Hedging: A Revisit |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.14738/abr.54.3100 |
| Publisher version: | http://dx.doi.org/10.14738/abr.54.3100 |
| Language: | English |
| Additional information: | This work is licensed under a Creative Commons Attribution 4.0 International License. https://creativecommons.org/licenses/by/4.0/ |
| Keywords: | Currency risk, international real estate investment portfolio, artificial hedging instrument, natural hedge, mean-variance efficient portfolio, stochastic dominance, optimal hedging strategy |
| 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/1553467 |
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