This paper re-examines the sensitivity and importance of interest rates and stock market price behaviour on securitised property by decomposing their long-run impact between transient and permanent effects. This is achieved within a framework that accounts for endogenously determined structural...

The classic property market cycle is conceptualised as a short term adjustment process generated by the interaction of occupation demand, the business cycle, the national credit cycle and supply lags consequent on the development cycle. Within the model yields are a function of the required rate...

This paper addresses two issues about the efficiency of the property market. It has long been argued that as data in the property market is based on valuations it has a tendency toward smoothing or stickiness. The research to date to assess this argument has been based on national perspectives....

The starting point for this paper is the argument that increased weight of money into commercial property in this decade has led to a convergence of UK provincial city office yields. The paper begins by reviewing the concept of a property yield cycle and the notion of a city risk premium, and...

It has been argued that investors overlook investment opportunities in the real estate markets of the UK outside London. This paper examines the fundamentals of real estate markets in British provincial cities. It analyses the diversification potential for investing and differences in expected...

Contributors -- Glossary -- Introduction : the housing economy and the credit crunch -- The housing boom, the bust and US housing policy -- Housing bubbles and foreclosures that follow : the case of Las Vegas -- Unemployment risk, homeownership, and housing wealth : lessons from the bubble --...

This paper examines the literature to date on the benefits of diversifying property assets internationally. Currently, there is no consensus on how much benefit can be derived from diversifying property portfolios globally. This is contrary to other financial assets where there seems to be...

This paper sets out to consider whether changes in economic fundamentals in the United States can impact on international real estate markets. To this end a two-step approach is pursued. In the first step cointegration techniques are used to determine whether common trends exist in international...

This paper constructs synchronously priced indices of securitised property listed on the NYSE and LSE. The indices are then utilised to examine dynamic information flows between the two markets. By analysing returns behaviour, asymmetric volatility spill over effects and exceedance correlations,...

[abstract missing - contribution appeared in the programme]