تاثیر گمنام ریسک ارز بر عملکرد بین المللی سرمایه گذاری ملک

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.

International investment in property has become a persistent feature of real estate markets in the developed economies. Real estate investors and advisers increasingly act in a global capacity. Cross border activity means that real estate investment must focus not only on cash flow patterns—changes in rents and capital values—but also on the impact of currency movement. Incorporating exchange rate volatility into the analysis of an international investment can substantially alter the expected return and risk characteristics of the investment (see Sirmans & Worzala, 2003). Although several studies have concluded that currency risk does not have statistical significant effect on the performance of a diversified international real estate portfolio, investors' concern over the ravages of currency risk (see Balogh and Sultan, 1997 and Newell and Worzala, 1995) has led to experimentation with various means of hedging international real property investment returns (see for example, Delaney, 1987, Johnson et al., 2002, Worzala et al., 1997, Ziobrowski and Ziobrowski, 1993 and Ziobrowski and Ziobrowski, 1995). However, it has been shown mathematically that currency risk cannot be completely hedged away (McGowan, Asabere, & Collier, 1987) notwithstanding the cost of currency hedging. Therefore, the paper revisits the currency risk debate with the objective of ascertaining the significance of exchange rate movements on the performance of a portfolio of international real estate investments especially in a period of increased exchange rate fluctuation and uncertainty. Specifically, it is hypothesized that currency risk has a significant negative impact on US dollar-denominated portfolio of international office property investments. This is operationalised through statistical tests of the results of an empirical study of office investments in seven Asia Pacific cities (including cities that were severely affected by the Asian currency crisis) over the period 1986Q2–2007Q3 inclusive. This study differs from others by analyzing data for before, during and after, the Asia currency crisis period. The next section therefore provides a brief review of a selected relevant literature. This is followed by a discussion of data sourcing and management after which the analyses, interpretation and discussion of the results are presented. The final section deals with concluding remarks.

The paper set out to examine the impact of currency risk on the performance of international office investments in seven Asia Pacific cities. While the results of the study reveal that currency risk generally reduced/increased office investment return/risk for the individual sampled cities, there is no statistical difference between the currency-unadjusted and adjusted office investment return/risk. Similarly, the results show that there is no statistical difference between the currency-unadjusted and adjusted inter-city correlation coefficients albeit currency conversion predominantly reducing the correlation coefficients (positive impact). However, the results at the portfolio level is contrary to both expectation and extant literature—exchange rate fluctuation had a positive (instead of negative) impact on the performance of an international diversified portfolio of office investments in the sampled cities for the entire period and sub-periods, which include periods of extreme turbulence in the currency markets of the sampled cities. The positive (i.e. unsung) impact on the portfolio returns, which is statistically significant at the 0.05 level of significance, is confirmed by stochastic dominance tests. The implication of the results of the study (if the results can be generalized in any way, and the past could be a credible augury of the future) is that office investors, who are holding a diversified portfolio of office investments in the sampled cities, may not be unduly concerned with currency risk as it could work in their favor. The relatively low and negative correlations among the exchange rate returns of the sampled cities provide more than a natural hedge against currency risk. This implies that any attempt to hedge the portfolio returns could be doubly costly—the cost of the hedging instrument and the loss of the “unsung” beneficial effects of currency movements—and thus inadvisable. It must be reiterated that the foregoing conclusion is based on a portfolio of investments in the sampled cities. Any investor who invests in any one of the sampled cities (especially at a time when the currency of the sampled city is strong) may have to be concerned with currency risk.