Italian real estate has become an increasingly popular investment class due to its relatively good returns and low risk compared to shares and bonds. In particular, real estate funds in Italy have shown enormous growth over the past few years, however, little is known about their performance....

There is extant literature using showing that private real estate has a major part to play in the mixed-asset portfolio. There is also a good deal of evidence showing that Real Estate Investment Trusts (REITs) makes a substantial contribution to the mixed-asset portfolio. But only two studies...

The benefits of sector and regional diversification have been well documented in the literature but have not previously been investigated in Italy. Using annual data from 1989 to 2003 we decompose property returns into a national effect three sector specific-effects and four economic regional...

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...

Purpose – When one talks of the return performance one typically refers to an average buy‐and‐hold return, also known as time‐weighted return. However, the returns of investors can be quite different. Investor returns are determined not only by the returns on the underlying assets but...

Purpose – The purpose of this paper is to test the hypothesis that investment decision making in the UK direct property market does not conform to the assumption of economic rationality underpinning portfolio theory. Design/methodology/approach – The developing behavioural real estate...