This paper aims to examine the issue of economic diversification in the context of the office markets in New York and London. These two markets are two of the most liquid office markets and attract a large degree of international investment. However, both cities are key financial service centres...

ERES:conference

[abstract missing - contribution appeared in the programme]

This paper re-examines the sensitivity and importance of interest rates and stock market price behaviour on securitised property by decomposing their long-run impact between transient and permanent effects. This is achieved within a framework that accounts for endogenously determined structural...

In this paper, we propose and implement the concept of Liability Driven Investment within the context of defined contribution pension funds, which do not have implicit liabilities. We adopt a transitional approach, by moving from a one period mean variance analysis through to a dynamic...

The paper examines the inter-relationship between REIT sub-sectors based on property type. The data used in this paper consists of daily returns for the period January 1 1990 through December 30 2005 totalling 4175 observations. During this time the popularity of REITS has expanded dramatically...

The paper studies the conditional risk premia and volatilities in the Real Estate Investment Trust sector. In particular, the conditional correlations of REITs are estimated against a variety of equity and bond series. The paper builds upon recent work in the REIT literature to have examined the...

This study makes use of a unique dataset of predominantly US and global closed-ended unlisted real estate funds to investigate their performance characteristics. The sample covers multiple vintage years and includes a number of fund specific features. These are used to identify the key...

This chapter employs an asset pricing approach to quantify the exposure of private property funds to publically traded and private real estate risk factors. These factors include the traditional size and growth factors, liquidity risk and macroeconomic drivers. Liquidity risk has been...

This paper re-examines the price behaviour of the residential property market in Ireland and specifically assess the extent to which a speculative bubble developed during the boom in the market since the mid-nineties. The paper uses a number of alternative methodological approaches in the...