Purpose: This paper aims to examine real estate price volatility in Hong Kong. Monthly data on housing, offices, retail and factories in Hong Kong were analyzed from February 1993 to February 2019 to test whether volatility clusters are present in the real estate market. Real estate price...

We review the main studies on house price synchronization and conduct an empirical analysis using OECD house price indices. We provide a discussion of the contributing factors of synchronization, with a focus on the demand and supply dimensions. Synchronization across both countries and cities...

A house is a bundle of land and improvements, with the weights of the two components varying both over time and across locations. We capture the land intensity or "leverage" of a property by measuring the ratio of land to total value. This is accomplished using transactions data for...

This paper analyzes the relationships between local and global securitized real estate markets, but also between securitized real estate and common stock markets. First, the volatility transmissions across markets are examined using an asymmetric t-BEKK (Baba-Engle-Kraft-Kroner) specification of...

In this paper, an analysis is made of what would be the rent difference for the tenants of subsidised units if these units were rented as unsubsidised units. Furthermore, the existence of any pecuniary disadvantage for the owner of a subsidised unit is investigated by considering his rental...

The role of real estate in a mixed-asset portfolio is investigated when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk. In particular, it is analysed whether the discrepancy between the optimal allocation to real estate and the actual...

In recent research it has been argued that the hedonic regression technique can be usefully applied to the valuation of residential property. This research has focused on the valuation of owneroccupied dwellings. It is the aim of this paper to show how this technique can also usefully be applied...

This study yields a contribution to a better understanding of the interest rate sensitivity of real estate and should enable a more sophisticated interest rate risk management, especially for insurance companies and pension funds. This is achieved by modelling the whole life of a typical office...