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Title: The unsung impact of currency risk on the performance of international real property investment
Authors: Addae-Dapaah, K. 
Tan Yong Hwee, W.
Keywords: Asia Pacific
Currency risk
Real property
Issue Date: 2009
Citation: Addae-Dapaah, K., Tan Yong Hwee, W. (2009). The unsung impact of currency risk on the performance of international real property investment. Review of Financial Economics 18 (1) : 56-65. ScholarBank@NUS Repository.
Abstract: The paper revisits the currency risk debate to ascertain the statistical significance of currency risk on the return of international real property investment, especially in a period of increased exchange rate volatility. After statistical analyses of the returns of a portfolio of office investments in seven Asia Pacific cities over the 1986 to 2007 period, it was found that currency risk had a statistically significant positive impact on the performance of the portfolio of office investments. This is confirmed by the results of stochastic dominance test. If the results of this study are verified by subsequent studies, and the past reliably presages the future, they would imply that investors holding portfolios of real property investments in the sample markets might not need to be unduly concerned with currency risk. © 2008 Elsevier B.V. All rights reserved.
Source Title: Review of Financial Economics
ISSN: 10583300
DOI: 10.1016/j.rfe.2008.04.002
Appears in Collections:Staff Publications

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