REIT EN BRASIL: UNA OPORTUNIDAD DE DIVERSIFICACIÓN INTERNACIONAL

The benefits of international diversification have been modified by the continuous change in the correlations between markets. Real estate investment has a high potential as a diversifying asset in a portfolio. The aim of this paper is to analyze the diversification by investing in REITs and equitie...

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Bibliographic Details
Published in:Revista de administração de emprêsas 2017-08, Vol.57 (4), p.302-316
Main Authors: López-Penabad, Maria Celia, López-Andión, Carmen, Iglesias-Casal, Ana, Maside-Sanfiz, José Manuel
Format: Article
Language:por ; spa
Subjects:
Brasil
Brazil
DCC
DCC model
DCC multivariante
diversificación internacional
Diversification
Diversificação internacional
international diversification
International finance
Modelo multivariado VAR
Modelo VAR
Modelo VAR-DCC multivariante
multivariate VAR
Portfolio diversification
Portfolios
Ratio de Sharpe
Real estate
Real Estate Investment Trust
REITs
Rácio de Sharpe
Sharpe Ratio
Studies
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Summary:The benefits of international diversification have been modified by the continuous change in the correlations between markets. Real estate investment has a high potential as a diversifying asset in a portfolio. The aim of this paper is to analyze the diversification by investing in REITs and equities for an investor from Brazil. We build optimal portfolios out-of-sample using predictions of volatility, correlations and yields following the DCC and VAR-DCC methods for the BOVA11, Ifix and SPDR S&P500 indices, during the period from December 1, 2014 to October 30, 2015. Our results show that the VAR-DCC approach slightly improves the DCC and Plug-in approaches, and the Naive strategy.
ISSN:0034-7590
2178-938X
2178-938X
1676-5648
DOI:10.1590/S0034-759020170402