REIT en Brasil: Una oportunidad de diversificación internacional

• Main Authors: Maria Celia López-Penabad, Carmen López-Andión, Ana Iglesias-Casal, José Manuel Maside-Sanfiz
• Format: Article
• Language: English
• Published: Fundação Getulio Vargas 2017-08-01
• Series: RAE: Revista de Administração de Empresas
• Subjects: Real Estate Investment Trust; international diversification; multivariate VAR-DCC model; Brazil; Sharpe Ratio
• Online Access: http://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/71355/68817

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 Naïve strategy.