In this paper, we estimate the risk spillovers among 74 U.S. REITs using the state-dependent sensitivity value-at-risk (SDSVaR) approach. This methodology allows for the quantification of the spillover size as a function of a companyís financial condition (tranquil, normal, and volatile REIT...

In this paper, we analyze whether an investment strategy which is based on the net asset value (NAV) spreads of real estate stocks yields positive excess returns. For a global sample of 542 real estate stocks over the 2000 to 2012 period, we find that a portfolio which is long in the quintile of...

This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for systematic foreign exchange movements. From the...

This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the...

Purpose – The purpose of this paper is to examine the time‐varying correlation structure of international real estate stock markets and its implications for portfolio management. Design/methodology/approach – The analysis focuses on real estate markets only and examines the appropriateness...

Purpose – The purpose of this paper is to compare the risk and return characteristics as well as the allocation of mean‐variance (MV) and downside risk (DR) optimized portfolios of international real estate stock markets and to discuss implications for portfolio management....

Purpose Using a data set comprising 16 European office markets provided by the DTZ Research Institute from Q1 2003 to Q4 2013, the purpose of this paper is to measure the strength of the unconditional transmission of volatility in the returns to direct property between 16 European office markets...