Optimization of international securitized real estate portfolios has been a key topic for several decades. However, most previous analysis has focused on regional diversification by applying the traditional mean-variance (MV) framework suggested by Markowitz (1952) even if the limitations of...

With a sample of 14 developed real estate securities markets during the study period 1993-2008, the main objective of this paper is to investigate market integration using the concepts of risk-return convergence and beta convergence. We find that international developed real estate securities...

This research examines time-varying real estate-stock conditional correlation dynamics at the local, regional, and global levels as well as the general co-movements among the three types of correlations and their relative (real estate/stock) volatilities for a sample of eight Asian and two...

This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential...

We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price...

Since the early 1970s and the seminal papers of Fama (1965, 1970), the efficient market hypothesis and its validity for several asset markets have been the topic of an uncountable number of publications in finance. The efficient market hypothesis deals with the question whether stock prices...