We examine the optimal allocation of assets in the portfolio of a Colombian homeowner conditional on various levels of the house value to net wealth ratio. The high rate of home ownership and low rates of investment in financial assets indicate that households allocate most of their wealth to...

Securitized real estate returns have traditionally been forecasted using economic variables. However, no consensus exists regarding the variables to use. Financial and real estate factors have recently emerged as an alternative set of variables useful in forecasting securitized real estate...

Using data for the 1978-2008 period, this study presents evidence for cointegration between securitized (NAREIT) and direct (NCREIF) total return indices. Cointegration between the indices indicates that REITs and direct real estate are substitutable in the portfolio of a long-horizon...

Choosing an appropriate benchmark is not unproblematic for academics or practitioners. Index construction methodologies vary from index to index as tradeoffs are made between the breadth of market coverage and the investability of the securities in the index. This paper examines the nuances...

The aim of this study is to analyze the market contagion in U.S., U.K. and Australian securitized real estate markets. First, a national analysis is realized in order to evaluate the impact of the broader domestic stock market on the real estate stock market. Second, the linkages between the...