This paper analyzes the relationships between local and global securitized real estate markets, but also between securitized real estate markets and common stock markets. First, the volatility transmissions across markets are examined using an asymmetric t-BEKK specification of their covariance...

In this paper, we use the adjusted present value methodology with Monte Carlo simulations in a real estate valuation context. Monte Carlo simulations make it possible to incorporate the uncertainty in the components of future cash flows and in the discount rate. We use empirical data to extract...

ERES:conference

The discrepancy between suggested and actual allocations to real estate by institutional investors constitutes a puzzle. The allocation to real estate, however, has increased in recent years and as a result the flows to the market are now of great magnitude. In this paper, we argue that an...

Securitized real estate returns have traditionally been forecasted using economic variables. However, no consensus exists regarding the variables to use. Financial and real estate factors have recently emerged as alternative forecasting variables that proxy for the set of economic variables that...

ERES:conference

We analyze the impacts of alternative submarket definitions when predicting house prices in a mass appraisal context, using both ordinary least squares (OLS) and geostatistical techniques. For this purpose, we use over 13,000 housing transactions for Louisville, Kentucky. We use districts...

The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...

In recent research it has been argued that the hedonic regression technique can be usefully applied to the valuation of residential property. This research has focused on the valuation of owneroccupied dwellings. It is the aim of this paper to show how this technique can also usefully be applied...