Persistence of property returns is a topic of perennial interest to fund managers as it suggests that choosing those properties that will perform well in the future is as simple as looking at those that performed well in the past. Consequently, much effort has been expended to determine if such...

This paper re-examines the relative importance of sector and regional effects in determining property returns. Using the largest property database currently available in the world, we decompose the returns on individual properties into a national effect, common to all properties, and a number of...

A stylised fact in the real estate portfolio diversification literature is that sector (property-type) effects are relatively more important than regional (geographical) factors in determining property returns. Thus, for those portfolio managers who follow a top-down approach to portfolio...

A stylised fact in the real estate portfolio diversification literature is that sector (property-type) effects are relatively more important than regional (geographical) factors in determining property returns. Thus, for those portfolio managers who follow a top-down approach to portfolio...

This paper investigates the time series behaviour of the relative benefits of sector and regional diversification strategies, using the notion of cross-sectional dispersion introduced by Solnik and Roulet(2000). Using monthly data over the period 1987:1 to 2002:12, four sector and four regional...

Carsberg (2002) suggested that the periodic valuation accuracy studies undertaken by, amongst others, IPD/Drivers Jonas (2003) should be undertaken every year and be sponsored by the RICS, which acts as the self-regulating body for valuations in the UK. This paper does not address the wider...

A good portfolio structure enables an investor to diversify more effectively and understand systematic influences on their performance. However, in the property market, the choice of structure is affected by data constraints and convenience. Using individual return data, this study tests the...

The recent poor performance of the equity market in the UK has meant that real estate is increasingly been seen as an attractive addition to the mixed-asset portfolio. However, determining whether the good return enjoyed by real estate is a temporary or long-term phenomenon is a question that...

Booth and Fama (1992) observe that the compound return and so the terminal wealth of a portfolio is greater than the weighted average of the compound returns of the individual investments, a difference referred to as the return due to diversification (RDD). Thus assets that offer high RDD should...

For over twenty years researchers have been recommending that investors diversify their portfolios by adding direct real estate. Based on the tenets of modern portfolio theory(MPT)investors are told that the primary reason they should include direct real estate is that they will enjoy decreased...