ERES:conference

The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns. In contrast to previous research, which has generally relied on overall real estate market indices and neglected the potential long-term dynamics, our...

Contemporaneous correlation between the returns of direct and indirect real estate investments is generally found to be weak. However, direct and securitized real estate returns are expected to be cointegrated over the long run, since securitized real estate returns are derived from direct real...

[abstract missing - contribution appeared in the programme]

We use sector level REIT and transaction-based direct real estate data for the period 1994-2010 to provide a clearer understanding of the dynamic relations between public and private real estate returns. We add leverage to private returns to make the private data more comparable with the REIT...

In this paper we investigate the role of real estate in a mixed-asset portfolio when the maximum drawdown (hereafter MaxDD), rather than standard deviation, is used as the measure of risk. The recent crash of equity markets around the world, and the consequences this has had on the balance...

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...

ERES:conference

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