This paper examines the degree of short run co-movement in UK commercial real estate returns. The hypothesis is that a large fraction of the fluctuations may result from a small number of core disturbances that are transmitted from one region to another and from one property type to another. It...

Duration and convexity measures are commonly applied in the management of bond portfolios to measure the sensitivity of asset values to changes in interest rates, enabling fund managers to manage their exposure to interest rate risk. Yet, there are no commonly accepted methods for applying the...

Equilibrium analysis is a valuable tool in real estate investment research. In this survey, I show how equilibrium models have been used to estimate the required risk premium for different classes of real estate, to explain real house prices, and to determine investment rental market adjustment...

Using data on 403 property transactions in Stockholm in the early 1990s, we illustrate how a microdata base can be used to compute 'constant-quality' cap rate series. We show a wide disparity between apartment and commercial series so calculated and series computed as simple averages of...