We examine the risk and return characteristics of publicly-traded real estate companies from 14 countries over the period 1990 to 2001. Our data are monthly country-level commercial real estate indexes constructed by the European Public Real Estate Association (EPRA). We find substantial...

In this paper three econometric issues related to private-equity return indices, such as real estate indices, are explored (smoothing, nonsynchronous appraisal, and cross-sectional aggregation). Under certain assumptions, it is found that index returns based on appraisals follow an ARFIMA(0,d,1)...

A recent paper by Knight, Satchell and Tran (1995) suggested that the double gamma distribution may provide an eective means of modelling asymmetry in financial data. This paper evaluates that claim in the context of the conditional distribution of exchange rate data. To do this, the model...

In this paper we investigate whether fund managers investing in the direct real estate market can consistently maintain their performance. The question of whether the performance of fund managers persists over time has been the focus of a long line of research in financial economics....

Despite the extensive advancement of knowledge in the field of empirical asset pricing, little is known about how this literature applies to asset classes beyond common stocks and bonds. In this paper we apply recent developments in financial economics, which posit an important role for limited...

There is an active and growing literature examining the rental rate, sales price, and occupancy premiums associated with sustainable or energy efficient certified real estate. To date, the focus has rested largely on office properties and for sale single family residential properties. We examine...

The role of selling (or marketing) period uncertainty in understanding risk associated with property investment is examined in this paper. Using an approach developed by Lin and Vandell [2001, 2005] and Lin [2004], combined with a statistical model of UK commercial property transactions, we show...

The investment CAPM provides an economic foundation for Graham and Dodd's (1934) Security Analysis. Expected returns vary cross-sectionally, depending on firms' investment, profitability, and expected investment growth. Empirically, many anomaly variables predict future changes in...

The anomalies literature is infested with widespread p-hacking. We replicate the entire anomalies literature in finance and accounting by compiling a largest-to-date data library that contains 447 anomaly variables. With microcaps alleviated via New York Stock Exchange breakpoints and...

In a multiperiod investment framework, firms with high expected growth earn higher expected returns than firms with low expected growth, holding investment and expected profitability constant. This paper forms cross-sectional growth forecasts, and constructs an expected growth factor that yields...