common risk factors are tested in three parts involving different portfolio of sample assets. Findings – The empirical … results shows that there are at most three common risk factors that can be used to predict the excess returns of six asset … separate common risk premia that are priced in property stock and direct property markets, which indirectly reject the …

market; formally examine the relationship between property returns, risk and gearing; and provide some guidance in evaluating … presented for evaluating the relationship between investment returns, risk and gearing levels. Findings – The study highlights … that risk rises with rising gearing levels and that risk‐adjusted returns fall with rising gearing. Furthermore, it is …

. However, this has dramatically changed the risk characteristics of A‐REITs. Essentially, the sector has become more risky …. Factors contributing to the increasing risk profile include: rising gearing levels; greater offshore exposure; evolving …/methodology/approach – In an attempt to gauge the impact of the changing risk characteristics over time the paper employs two formal risk …

first study to examine the role of direct and indirect infrastructure within a multi‐asset portfolio by applying a downside‐risk …Purpose – The purpose of this paper is to provide conclusive evidence that infrastructure constitutes a separate asset … determined for direct and indirect infrastructure within a multi‐asset portfolio. Design/methodology/approach – Portfolio …

Purpose – The purpose of this paper is to investigate the risk appetite in Hong Kong real estate and property security … the previous risk appetite measurement and Markov Chain Monte Carlo simulation is used. Traditional research on risk … paper makes a contribution that in the absence of options, risk appetite indicators are derived for the real estate and …

Purpose – The purpose of this paper is to propose a new way to measure risk in real estate investment, which departs … the use of so‐called coherent risk measures for real estate investment decisions. Central to this class of measure is the … computation of spectral risk, a measure that covers the spectrum of an individual's risk aversion function. Intuition being hard …

owing to the overriding role played by IPD indices in capturing risk. Research limitations/implications – Due to … risk at the property level. Practical implications – The paper introduces a typology of optimal hedges aimed at individual …