Time-Series Relationship between Real Estate and Other Asset Classes for Portfolio Selection
鈴木, 英晃 ,
高辻, 秀興 ,
Hideaki, SuzukiHideoki, TAKATSUJI
麗澤学際ジャーナル = Reitaku Journal of Interdisciplinary Studies
48 , 2015-03-20 , 麗澤大学経済学会
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.