Besides the specific return and risk variables of individual assets within a portfolio the correlation of returns between the individual assets are of relevance for the portfolio risk. Capital market theory suggests that diversification effects develop from return correlations with a correlation...

ERES:conference

Special real estate funds in Germany represent more than EUR 16 billion assets in real estate. Investors, investment companies and the public domain did not yet have any access to performance data of the special real estate funds. The paper intends to close this gap and provides a thorough...

The purpose of this paper is to establish whether the estimation accuracy of the sample-based valuation of a fairly homogenous real estate portfolio with stratification based on principal component and cluster analysis is robust over multiple valuation dates. We use a model portfolio of 2400...

This paper examines the general characteristics of real estate programs offered at German universities. The analysis is based on an extensive questionnaire, which was sent out to all German universities offering a degree course with a real estate major or a dedicated real estate course. The...

The German property market has shown a remarkably stable performance over the last decades. Especially in the worldwide financial crisis 2008 and 2009 German valuation practise has been questioned by international and especially UK market participants. The paper investigates the performance of...

The lack of portfolio‐based property indices in European property markets has led researchers to consider the use of notional property indices to determine the risk and return rewards of investing in these markets. Owing to the computation assumptions underlying notional indices, in particular...

This paper – the second half of a two‐part paper – constructs a notional property index for the German office market. The returns from this index are subject to numerous adjustments in order to produce a cash flow which reflects annual indexation changes in rent and possible reviews to...

Purpose – The purpose of this paper is to examine the sources of direct real estate portfolio returns and their relative performance against Investment Property Databank (IPD) benchmark returns. Active property management consists of the concepts of property transaction execution and...

Purpose – This paper investigates the link between equity and credit markets for the government‐sponsored mortgage institutions, Fannie Mae and Freddie Mac, during the period from January 2007 until December 2008. Before the financial crisis, investors perceived these real estate finance...