In this paper, we propose and implement the concept of Liability Driven Investment within the context of defined contribution pension funds, which do not have implicit liabilities. We adopt a transitional approach, by moving from a one period mean variance analysis through to a dynamic...

Studies of the patterns of risk and returns in commercial property and of the application of portfolio theory in real estate typically have based their analysis on data aggregated by geography and sector. Thus, for example, UK studies seeking to identify ways of structuring a real estate...

A considerable body of research exists on how office rents and vacancy rates adjust in response to changes in demand and supply. In particular, recent research has settled upon an Error Correction Model (ECM) approach for investigating how adjustment occurs. Some recent studies have applied an...

The nature of private commercial real estate markets presents difficulties for monitoring market performance. Assets are heterogeneous and spatially dispersed, trading is infrequent and there is no central market place in which prices and cash flows of properties can be easily observed....

Depreciation is a key element of understanding the returns from and price of commercial real estate. Understanding its impact is important for asset allocation models and asset management decisions. It is a key input into well-constructed pricing models and its impact on indices of commercial...

This study investigates the extent to which returns from the listed real estate sector are related to returns in the direct real estate market for the US and for six European countries: France, Germany, the Netherlands, Sweden, Switzerland and the UK. Past research has often used valuation based...

In 2005, a research team from the University of Reading and Investment Property Databank funded by the IPF/IPF Education Trust produced a set of depreciation rates for the UK property investment market including rental depreciation rates and the extent of capital expenditure necessary to keep...

This paper extends work that was funded by the UK Investment Property Forum over the last 8 years and which used longitudinal methods to measure rental value depreciation rates for commercial properties in the IPD UK annual database.Past work has concentrated on measuring rates of depreciation...

Informational efficient prices are a necessary requirement for optimal resource allocation in the commercial real estate market. Prices are informational efficient if they reflect buildings' benefit to marginal buyers, thereby taking account of all available information on future market...

It is well known that institutional investors are noticeably overweight in the City of London office market and substantially underweight in offices in the rest of the UK. An economically sensible way to measure this bias is to calculate the additional required return on offices outside the City...