We use constrained cross-section regressions to disentangle the effects of various factors on international real estate security returns. Besides a common factor, pure country, property type, size, and value/growth factors are considered. The value/growth measure that is used in this paper...

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

Equity returns are believed to be strongly influenced by country, sector and style effects. A key issue is to be able to disentangle those various effects from one another. In particular, differences between country returns may simply reflect differences in the sector composition of country...

This paper examines the intra-day behavior of asset prices shortly before and after large price changes. Whereas similar studies so far have been based on daily closing prices, I use three years of high frequency data of 120 stocks listed on the French stock exchange. Various systematic...

This paper reviews some recent developments in the area of optimal international portfolio diversification and investigates important issues for future research. In the latest models proposed in the financial literature that generate optimal holdings over time, both the quantities of risks...

The concept of a peak in value or a "100% location" is so well established in real estate that there is no reference to the term in recent real estate principles and appraisal texts. However, the land value section in appraisals of a regional shopping center did not apply the concept when...

This paper argues that tenant placement strategies for large-scale multi-unit shopping centers differ depending on the number of floor levels. Two core strategies are identified: dispersion and departmentalization. There exists a trade-off between three income effects: basic footfall effects,...