Property portfolios are traditionally constructed by diversifying across geographical areas, property types or a combination of both. In the UK it is normal practice to use regions rather than towns or local markets areas as the geographical divisions. In this paper cluster analysis is used to...

The seminal study by Fama and MacBeth (1973) initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate wether beta is a valid measure of risk has been renimated by Fama and French (1992) and subsequent studies. Rather than focusing on exogenous...

In this paper, we use constrained cross-section regressions to disentangle the effects of various factors on real estate security returns in 21 countries. A better knowledge of the risk factors driving real estate returns is crucial, whether a pure real estate portfolio is constructed, or...

In this paper portfolio allocation strategies based onn a recently developed autoregressive conditional heteroscedasticity model (QTARCH) are constructed for the US and the UK and compared with strategies relying on the conventional Markowitz approach.

This paper specifies a two-variable system of house prices and income for N.Z., U.K. and the U.S., covering periods from 1973:4 through 2008:2. The analysis allows the identification of differences in house price-income relationships over sub-periods and, using an SVAR approach, compares the...

ERES:conference

Le role de l'investissement immobilier dans la constitution de portefeuilles diversifies a fait l'objet, depuis plusieurs annees deja, de nombreuses etudes. Pour les investisseurs institutionnels, et en particulier pour les fonds de prevoyances, il s'agit au prealable d'examiner de facon...

We present a comparative study of perceptions concerning the environmental quality of residential real estate in Switzerland based on empirical data collected in three different linguistic regions. Responses by homeowners in the Geneva, Zurich and Lugano areas to questionnaires involving...

This study investigates the short term inflation hedging characteristics of U.K. real estate compared to other U.K. investments.

Cet article a pour but principal de discuter les caracteristiques du benchmarking immobilier et ses conditions d'application.