The increased frequency in reporting UK property performance figures, coupled with the acceptance of the IPD database as the market standard, has enabled property to be analysed on a comparable level with other more frequently traded assets. The most widely utilised theory for pricing financial...

The purpose of this paper is to examine the stability of the beta coefficient for US equity REITs over bull and bear market conditions. In particular, we assess whether and to what extent the implied relationship between beta and returns can be established in up and down market conditions using...

Volatility, or the variability of the underlying asset, is one of the fundamental key components of property derivative pricing and in the application of real option models in development analysis. There has been relatively little work on the application of volatility to real estate property...

ERES:conference

The present study reports the results of assessing a number of indicator series that are considered to provide timely and pertinent information about real estate activity. It examines whether these indicators can trace changes in the path of real estate activity individually, or through...

ERES:conference

This paper employs newly developed techniques of nonlinear cointegration analysis to study international real estate market integration and price discovery. The countries considered in this study are UK, USA, Netherlands and France. Direct (NCREIF, IPD) and indirect (EPRA) real estate price...

This paper investigates the major determinants of fund performance and outperformance for the non-listed fund sector. More specifically, it seeks to understand whether fund performance reflects management and stock-selection skills or whether performance is mainly in line with average returns in...

Forecasts play an important role in real estate investment decisions supporting broad asset allocation and real estate fund strategy, including sector and geographic allocation. It is believed that through modelling and forecasting real estate markets improved real estate investment decisions...

Do holding periods matter? Holding periods are an important factor impacting on the performance of asset classes that are traded in open markets. The length of time investors have held or intend to hold an asset has a major input into investors' considerations at both a strategic and tactical...