Research into market liquidity has increasingly focused on transaction (trade-by-trade) data. This has been valuable but has also increased the costs of studying the behavior of liquidity over longer periods of time. It has, however, also been shown that daily data can be examined in such as way...

This paper examines the empirical impact of trade openness on the short-run underpricing of real estate IPOs in China, on a city level. To our knowledge, this represents the first paper which employs a macroeconomic argument to explain the real estate IPO performance. Our work is based on the...

Traded securities have been mainly used to study the two-way causality between returns and liquidity in the finance literature. We argue that this issue is even more important for unlisted funds, particularly if they invest in very illiquid assets. Using the investment performance of UK Real...

A Valuation-Based Index (e.g. NCREIF and IPD) requires a set of information that is normally difficult to be collected ñ the main issue being the availability of annual valuations. This issue is even worse when we want to construct historical indices for markets with thin information. In this...

If in equity markets style analysis has been studied extensively, in real estate ones it is only now emerging as a valuable tool for measuring and benchmarking performance and risk. So far studies in the property market have identified three investment categories (rather than styles): sectors...

"Several papers analyse the issue of serial correlation in real estate markets and the impact of this stylised fact on asset allocation choices. However, while momentum and contrarian strategies have been thoroughly tested for equities, their application to real estate markets has been mainly...

In turmoil periods, market liquidity can experience sudden dry ups connected with a significant price movements. This unexpected changes in liquidity patterns, often driven by irrational investorsí behaviour,and it is normally defined as Liquidity Black Hole (LBH). So far relevant research in...

We look through both the demand and supply side information to understand dynamics of price determination in the real estate market and examine how accurately investorsí attitudes predict the market returns and thereby flagging off extent of any demand-supply mismatch. Our hypothesis is based...

In an asset allocation process, correlations are particularly important if one includes 'alternative investments' such as real estate, commodities and hedge funds, which have been proclaimed to provide diversifying benefits within the overall portfolio context. However, by looking at...

Market segmentation is a standard concept in both strategic marketing and investment analysis. The standard approach in the real estate market context is to segment markets by regions and property types. While this approach provides investment analysts with a powerful basic classification grid,...