This paper examines the dynamics of the residential property market in the United States between 1960 and 2011. Given the cyclicality and apparent overvaluation of the market over this period, we determine whether deviations of real estate prices from their fundamentals were caused by the...

There are parallels between the operation of closed-end funds and in the United Kingdom property companies. In both types of corporations, the market capitalization is commonly less than the net asset value (NAV) of the assets owned by the firms. This article investigates the relationship...

This paper investigates the effects of European monetary integration on the behavior of stock returns in European real estate companies from the perspective of a dollar-denominated investor. A range of statistical tests is applied to assess changes in segmentation, co-movement and causality. The...

This article re-examines the issue of international diversification in real estate securities and attempts to address the problem of estimation error in the inputted parameters through the use of alternative techniques. The results see an increased stability in calculated portfolio allocations...

This study examines the potential diversification opportunities arising from the extension of real estate portfolios into an international environment. Using data for ten countries, the article compares the diversification benefits obtained from both real estate securities and hedged indices....

This article is the winner of the International Real Estate Investment/ Portfolio Management manuscript prize (sponsored by LaSalle Investment Management) presented at the American Real Estate Society Annual Meeting. This article tests for the presence of both price continuation and price...

The analysis of apartment sub-markets and the modelling of such markets have attracted a considerable degree of attention recently. This study compares apartment submarkets within a major European city. The price behaviour of the Dublin, Ireland apartment market is tested using hedonic models...

This paper employs a probit and a Markov switching model using information from the Conference Board Leading Indicator and other predictor variables to forecast the signs of future rental growth in four key U.S. commercial rent series. We find that both approaches have considerable power to...