The purpose of this paper is to estimate the value of Swiss residential real estate wealth using two alternative methods: the perpetual inventory method and the income capitalization method. We also use the insured value of all residential buildings and the amount of mortgages in order to...

The current study investigates whether real estate securities continue to act as a perverse inflation hedge in foreign countries given security design differences. Both a stationary and a nonstationary risk free rate are alternatively used in conjunction with the methodology of Fama and Schwert...

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...

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...

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...

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.