This paper provides an international comparison of the benefits of including real estate assets in mixed-asset portfolios. Real estate returns are desmoothed using a variant of the Geltner (1993) approach, and Bayes-Stein estimators are used to increase the stability of portfolio weight...

This study presents evidence of cointegration between securitized (NAREIT) and direct (NCREIF) real estate total return indices. Since the two real estate indices are cointegrated with one another but not with the stock market, REITs and direct real estate are likely to have similar long-term...

This paper compares alternative methods for taking spatial dependence into account in house price prediction. We select hedonic methods that have been reported in the literature to perform relatively well in terms of ex-sample prediction accuracy. Because differences in performance may be due to...