Risk diversification is important to all investors. However, commercial real estate investors in the UK tend to concentrate their holdings in relatively few properties; as a consequence they are vulnerable to significant risk of underperforming the overall market or a target rate of return....

Persistence of property returns is a topic of perennial interest to fund managers as it suggests that choosing those properties that will perform well in the future is as simple as looking at those that performed well in the past. Consequently, much effort has been expended to determine if such...

For those portfolio managers who follow a top-down approach to fund management when they are trying to develop a pan-European investment strategy they need to know which are the most important factors affecting property returns, so as to concentrate their management and research efforts...

This paper re-examines the relative importance of sector and regional effects in determining property returns. Using the largest property database currently available in the world, we decompose the returns on individual properties into a national effect, common to all properties, and a number of...

A stylised fact in the real estate portfolio diversification literature is that sector (property-type) effects are relatively more important than regional (geographical) factors in determining property returns. Thus, for those portfolio managers who follow a top-down approach to portfolio...

A stylised fact in the real estate portfolio diversification literature is that sector (property-type) effects are relatively more important than regional (geographical) factors in determining property returns. Thus, for those portfolio managers who follow a top-down approach to portfolio...

This paper investigates the time series behaviour of the relative benefits of sector and regional diversification strategies, using the notion of cross-sectional dispersion introduced by Solnik and Roulet(2000). Using monthly data over the period 1987:1 to 2002:12, four sector and four regional...

A stylized fact in the real estate diversification literature is that sector (property type) effects are relatively more important than regional (geographical) factors in determining property returns. Thus, for those portfolio managers who follow a top‐down approach to portfolio management,...

The present value model states that the price of an asset is equal to the properly discounted future cash flows generated by this piece of asset. This view needs to be modified in real estate markets. Agents in a real estate market can be broadly divided into those who buy to use and those who...

As is well established, commercial real estate is a highly specific asset: heterogeneous, indivisible and with less information transparency than most other commonly held investment assets. These attributes negatively affect the liquidity of the asset and encourage the use of intermediaries...