ERES:conference

Following the attack on the World Trade Center on 9/11 volatility of daily returns of the US stock market rose sharply. This increase in volatility may reflect fundamental changes in the economic determinants of prices such as expected earnings, interest rates, real growth and inflation. In...

This paper presents an elegant and simple approach to the decomposition of sector and regional influences on property returns, and thus provides a quantitative framework for analysing the relative impact of these two diversification categories to real estate portfolio selection. Using data on...

A large number of studies have previously examined the effect of interest rate changes on the securitised real estate market. However, the majority have focused on aggregate index level data. Few studies have been undertaken on micro-level data. These lead to a question of whether previous...

This study re-examines the diversification opportunities that may arise from the inclusion of the private real estate market in a mixed-asset portfolio. The paper's two primary contributions are that firstly we examine this issue through the use of a mean-variance spanning approach rather than...

The purpose of this paper is to examine the stability of the beta coefficient for US equity REITs over bull and bear market conditions. In particular, we assess whether and to what extent the implied relationship between beta and returns can be established in up and down market conditions using...

In this study, we examine how the transparency of securities affects herding among security analysts, measured in terms of the prevailing consensus and recent revisions by other analysts. Prior literature suggests a relationship between market information and analysts herding behavior, with the...

ERES:conference

ERES:conference

Following the recent financial crisis, the need for diversification cannot be over emphasized. This notwithstanding, some concerns have been raised regarding the efficacy of the conventional asset allocation methods. These traditional strategies encompass equal weighting, minimum variance, and...