This paper contributes to a novel and fast growing literature which introduces game theory in the analysis of real options investments in competitive settings. Specifically, in this paper we focus on the issue of multiple equilibria and on the implications that different equilibrium selections...

In turmoil periods, market liquidity can experience sudden dry ups connected with a significant price movements. This unexpected changes in liquidity patterns, often driven by irrational investorsí behaviour,and it is normally defined as Liquidity Black Hole (LBH). So far relevant research in...

This paper contributes to a fast growing literature which introduces game theory in the analysis of real option investments in a competitive setting. Specifically, in this paper we focus on the issue of market incompleteness and the practical difficulty of finding a twin security in order to...

In this paper we study optimal portfolio allocation of real estate assets using IPD transaction-based data. Currently, appraisal-based indices represent a standard tool for the analysis of property returns in portfolio decisions. However, appraisal-based indices present a number of shortcomings:...

In an asset allocation process, correlations are particularly important if one includes 'alternative investments' such as real estate, commodities and hedge funds, which have been proclaimed to provide diversifying benefits within the overall portfolio context. However, by looking at...

In turmoil periods, market liquidity can experience sudden dry ups connected with significant price movements. This unexpected change in liquidity patterns, often driven by irrational investorsí behavior, is normally defined as Liquidity Black Hole (LBH). So far relevant research in this area...

Market segmentation is a standard concept in both strategic marketing and investment analysis. The standard approach in the real estate market context is to segment markets by regions and property types. While this approach provides investment analysts with a powerful basic classification grid,...

The application of real options theory to commercial real estate has developed rapidly during the last 15 Years. In particular, several pricing models have been applied to value real options embedded in development projects. In this study we use a case study of a mixed-use development scheme and...

Several papers address the issue of price discovery in real estate markets and propose different models to analyse the information content included in vehicle-based indices. Moreover, the finance literature has recently developed the understanding of the impact of illiquidity costs on the...

ERES:conference