This study re-examines the diversification opportunities that may arise from the inclusion of the private real estate market in a mixed-asset portfolio. The paper's two primary contributions are that firstly we examine this issue through the use of a mean-variance spanning approach rather than...

A number of studies of commercial real estate markets find evidence of persistence in returns, which suggests that a profitable trading rule could be developed that trades on past performance. This paper tests this proposition by analysing whether an investor can achieve higher returns than the...

The paper will assess the realised performance of UK real estate investment funds using the largest available set of data from IPDís records. The first objective is to document fund returns over periods of 10 and 20 years using all the standard indicators of return, risk and risk adjusted...

The aim of the Journal of Property Investment and Finance is to keep industry practitioners informed on current thinking and developments in all aspects of real estate research and practice by informing and encourage debate between academics and practising professionals. To achieve this aim the...

Purpose – When one talks of the return performance one typically refers to an average buy‐and‐hold return, also known as time‐weighted return. However, the returns of investors can be quite different. Investor returns are determined not only by the returns on the underlying assets but...

Purpose – The purpose of this paper is to test the hypothesis that investment decision making in the UK direct property market does not conform to the assumption of economic rationality underpinning portfolio theory. Design/methodology/approach – The developing behavioural real estate...

Purpose The purpose of this paper is to examine whether geographical distance or economic distance offers greater diversification benefits in the UK office market. Design/methodology/approach The real estate investment data for this study come from the Investment Property Databank analysis “UK...

Purpose This study aims to examine the impact of “space-as-a-service” (SAAS) provision on office rents in the UK and quantify premia to office rents. Design/methodology/approach Using hedonic modelling techniques the authors are able to quantify the impact of a number of SAAS features on...

This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick Prescott filter is employed to fit a long‐term trend to the raw data, and to derive the short‐term cycles of each...