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dc.contributor.authorNartea, Gilberten
dc.contributor.authorEves, Alfred C.en
dc.date.accessioned2011-04-14T23:20:35Z
dc.date.issued2010en
dc.identifier.citationEves, C., & Nartea, G. V. (2010). Role of farm real estate in a globally diversified asset portfolio. Journal of Property Investment and Finance, 28(3), 198-220.en
dc.identifier.issn1463-578Xen
dc.identifier.urihttps://hdl.handle.net/10182/3455
dc.description.abstractPurpose - The paper examines the benefits of further diversifying a global portfolio of financial assets with New Zealand farm real estate (FRE). Design/methodology/approach - We compare efficient sets generated with and without farm real estate using portfolio theory. Findings - The results show that given the predominantly negative correlation between FRE and financial assets, the risk-return tradeoffs of portfolios of financial assets can be improved significantly. The diversification benefits measured in terms of risk reduction, return enhancement, and improvement in the Sharpe performance ratios are robust under a number of FRE risk-return scenarios as well as under high and low inflationary periods. Using 5- and 10-year rolling periods we also find that FRE is a consistent part of risk efficient portfolios. Consistent with the results reported in Lee and Stevenson (2006) for UK real estate the risk reduction benefits of diversifying with FRE are larger than the risk enhancement benefits. Practical implication - The results suggest that FRE takes on a consistent role of riskreducer rather than a return-enhancer in a globally diversified portfolio. FRE appears to deserve more serious consideration by investment practitioners that it has been accorded in the past. Originality/value – The study examines the role of direct real estate in a globally diversified portfolio of financial assets.en
dc.format.extent198-220en
dc.language.isoenen
dc.publisherEmerald Group Publishing Limiteden
dc.relationThe original publication is available from - Emerald Group Publishing Limited - https://doi.org/10.1108/14635781011048858 - http://www.emeraldinsight.com/1463-578X.htmen
dc.relation.urihttps://doi.org/10.1108/14635781011048858en
dc.rights© Emerald Group Publishing Limiteden
dc.subjectDiversificationen
dc.subjectreal estateen
dc.subjectfarmsen
dc.subjectNew Zealanden
dc.subjectportfolio theoryen
dc.subjectFinanceen
dc.titleRole of farm real estate in a globally diversified asset portfolioen
dc.typeJournal Article
lu.contributor.unitLincoln Universityen
lu.contributor.unitFaculty of Agribusiness and Commerceen
lu.contributor.unitDepartment of Financial and Business Systemsen
lu.contributor.unitDepartment of Land Management and Systemsen
dc.identifier.doi10.1108/14635781011048858en
dc.subject.anzsrc1502 Banking, Finance And Investmenten
dc.subject.anzsrc1504 Commercial Servicesen
dc.relation.isPartOfJournal of Property Investment and Financeen
pubs.issue3en
pubs.noteshttp://hdl.handle.net/10182/3455 Already in LURA 3455en
pubs.organisational-group/LU
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce/FABS
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce/LAMS
pubs.publication-statusPublisheden
pubs.publisher-urlhttp://www.emeraldinsight.com/1463-578X.htmen
pubs.volume28en


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