Purpose – This paper seeks to examine the extent of real estate investment concentration in institutional industrial portfolios at these same two points in time. Design/methodology/approach – To examine this issue two datasets are used at two dates, 1998 and 2003. The analysis is confined to...

Purpose – This paper aims to re‐examine the portfolio risk/return performance of “conventional” sector/regional classifications with one based on socio‐economic criteria. Design/methodology/approach – Applying the mean absolute deviation (MAD) portfolio optimisation method, this...

Purpose – The aim of the Journal of Property Investment & Finance ( JPIF ) is to keep industry practitioners informed on current thinking and developments in all aspects of real estate research and practice by informing and encouraging debate between academics and practising professionals. To...

There are three basic approaches to style analysis: (i) an examination of the portfolio and security selection procedures used by the fund managers, (ii) a factor model approach, and (iii) return‐based approaches, all with their own strengths and weaknesses. Of the return‐based methods the...

Purpose – The purpose of this paper is to empirically examine the effect on US stock, bond and real estate investment trust (REIT) prices triggered by the US Federal Reserve Chairman Ben Bernanke’s announcement of a possible intent to unwind, or taper, quantitative easing (QE). In...

Purpose The purpose of this paper is to examine whether Real Estate Investment Trusts (REITs) returns on the different days of the week differ from each other. Design/methodology/approach It uses European Public Real Estate Association (EPRA)/National Association of Real Estate Investment Trusts...

Purpose – The purpose of this paper is to analyse the performance of UK property funds using the dual sources of active management, Active Share and tracking error, to distinguish between the types of active management styles used by funds. Design/methodology/approach – The authors use data...

Purpose The purpose of this paper is to empirically examine the issue of convergence in the monthly returns, rental growth and yields for ten market segments in the UK direct real estate market, using monthly data over the period from January 1987 to December 2014. Design/methodology/approach...

In recent years, the importance of Internetand World Wide Web (WWW) technologies inmanufacturing industries has been risingvery rapidly in a global context. According toa recent study, Manufacturing Foresight 2020,conducted by UK Department of Trade andIndustry (DTI), the impact of...

The price of a European option can be computed as the expected value of the payoff function under the risk-neutral measure. For American options and path-dependent options in general, this principle can not be applied. In this paper, we derive a model-free analytical formula for the implied...