In this paper we investigate cross-asset liquidity between equity markets and REITs and between REITs and private real estate markets. While many studies have investigated REIT liquidity, and there is an emerging interest in liquidity in the private real estate markets, there appears to be...

Purpose – In the wake of the recent financial crisis, there has been extensive commentary regarding the rise and fall of REIT leverage, how much debt REITs should use, and the trendy “deleveraging” practice among REIT managers. The paper aims to discuss these issues....

In this article three econometric issues related to private-equity return indices, such as real estate indices, are explored (smoothing, nonsynchronous appraisal and cross-sectional aggregation). Under certain assumptions, it is found that index returns based on appraisals follow an ARFIMA(1, d,...

We examine the risk and return characteristics of publicly traded real estate companies from 14 countries over the period 1990 to 2001. Our data are monthly country-level commercial real estate indexes constructed by the European Public Real Estate Association (EPRA). We find substantial...

The low level of volatility observed in appraisal-based commercial property indices relative to other asset classes has been frequently noted and extensively commented on in the real estate finance literature. However, the volatility of such commercial property indices is only one source of...

In this paper we investigate the commonly used autoregressive filter method of adjusting appraisal-based real estate returns to correct for the perceived biases induced in the appraisal process. Since the early work by Geltner (1989), many papers have been written on this topic but remarkably...

Conditional volatility models have been used extensively in finance to capture predictable variation in the second moment of returns. However, with recent theoretical literature emphasizing the loss-averse nature of agents, this paper considers models that capture time variation in the second...

Conditional volatility models, such as GARCH, have been used extensively in financial applications to capture predictable variation in the second moment of asset returns. However, with recent theoretical literature emphasising the loss averse nature of agents, this paper considers models which...

Research on the impact of property taxes on local real estate markets has a long history in the urban economics literature but few studies have considered this issue in the context of the commercial real estate market or on data from outside the USA. This is surprising given the use which...