This paper assesses whether the returns of the UK securitised real estate market are converging with those of the other countries in Europe relative to the returns in the US. Using time-varying parameter modelling techniques with monthly data over the period 1990 to 2007 we show that from 1998...

A number of studies have examined the benefits of regional diversification strategies within commercial real estate portfolios with two approaches adopted; the first is based on primary contiguous geographical regions while the second employs areas based on economic function. In general, the...

ERES:conference

The adequate measurement of real estate risk is of utmost importance for asset management and real estate portfolio management. Most real estate academics agree that volatility is inappropriate for that purpose. However, it is still a favored measure of many practitioners and academics due to...

Real estate in common with many other business sectors has experienced significant levels of internationalisation in its market activities over the last decade. These range from the internationalisation of key market actors such as real estate service providers and investors to the increasingly...

ERES:conference

The traditional measurement of active management is to calculate the tracking error of the fund; as measured by the standard deviation of the difference in a fund's returns versus its benchmark returns. However, tracking error alone is an inadequate measure of fund activity since even very...

This paper examines the geographical investment practices of institutional investors in the commercial real estate office market in 1998 and 2003 in England and Wales, using some previously unused datasets. The findings show that investors concentrate their holdings in a few (urban) areas and...

Over the past couple of decades a behavioural real estate research paradigm has been developing. In this paper, observed aggregate behaviour within the institutional real estate investment community is analysed and related to economic assumptions underpinning investment theory and market...

ERES:conference