In this paper cluster analysis is used to construct homogeneous groups from 157 UK local markets using commercial property returns.

The last 10 years has seen the rapid development of real estate research in Europe and the development of intra-European contacts and networks. At the same time, U.S. academics have become increasingly interested in European real estate research and strong links have developed between European...

This paper investigates the role of real estate in a mixed-asset portfolio when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk.

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.(...)