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ポートフォリオ選択における不動産と他の複数資産の時系列的関係性ポートフォリオ選択における不動産と他の複数資産の時系列的関係性 Time-Series Relationship between Real Estate and Other Asset Classes for Portfolio Selection |
"/鈴木, 英晃/"鈴木, 英晃 ,
"/高辻, 秀興/"高辻, 秀興 ,
"/Hideaki, Suzuki/"Hideaki, Suzuki ,
"/Hideoki, TAKATSUJI/"Hideoki, TAKATSUJI
23pp.21
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48 , 2015-03-20 , 麗澤大学経済学会
ISSN:2189-5333
内容記述
For better understanding of real estate in a multi-asset portfolio, this research focuses on time-series relation of real estate with its other asset classes in total return. VECM confirmed a lead-lag relationship between REITs, equities and investment real estate, that JREITs, large-cap equities and mid-cap equities lead real estate. It was also found that JREITs have a significant impact on forecast errors of real estate at almost 40%, and that large-cap equities have large impacts on both JREITs and real estate in forecast errors.
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