The performance of a sample of real estate funds over the period 1989-2001 is analysed in order to assess the fund manager's selection and timing ability. In addition to conventional performance measures a number of alternative techniques are also used in order to overcome potential biases...

Real estate portfolio diversification takes many forms, most of which can be associated with size (value). Larger portfolios are assumed to have greater diversification potential than small portfolios. In addition, since greater diversification is generally associated with lower risk it is...

A stylized fact in the real estate diversification literature is that sector (property type) effects are relatively more important than regional (geographical) factors in determining property returns. Thus, for those portfolio managers who follow a top‐down approach to portfolio management,...

Surveys of 'experts' have been undertaken to obtain forecasts of the future risk and return relationship of Property with Equities and Bonds in both the USA and the UK. The mean or median values of these forecasts have been used in asset allocation models to justify Property's position in the...

This paper investigates the potential benefits and limitations of equal and value-weighted diversification using as an example the UK institutional property market. To achieve this it uses the largest sample (392) of actual property returns that is currently available, over the period 1981 to...

This paper examines house price diffusion with the Republic of Ireland and between the Republic and Northern Ireland. The results show that a large degree of diffusion takes place, particularly from Dublin to the other regions, in a manner that is similar and consistent with the UK ripple...

This paper re-examines the issue of property's role in a mixed asset portfolio. Using Irish data it expands on the existing literature by extending the universe of assets to include international equity and fixed income markets. The results show that property maintains a reasonably high...

This paper examines the impact of the collapse of Olympia & York on the performance of 42 UK property securities. Different event study methodologies are used to test for the presence of a contagion effect and intra-industry information transfers. While significant results are not obtained for...

The study examines four alternative rental forecasting models in the context of the London office market. The forecasting ability of an ARIMA model, a Bayesian Vector Autoregression approach, an OLS based single equation model and a simultaneous equation model are compared and contrasted. The...