Departmental Bulletin Paper 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

鈴木, 英晃  ,  高辻, 秀興  ,  Hideaki, Suzuki  ,  Hideoki, TAKATSUJI

Description
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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