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)...

The behavior of real estate markets during the 1997-1998 financial crisis in Asian economies has received little attention despite the extensive research on other asset markets over this time. This paper examines the transmission of shocks across national real estate markets prior to and during...

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....

Seminal work by Grenadier (1995) derived a set of hypotheses about the pricing of different lease lengths in different market conditions. Whilst there is a compelling theoretical case for and a strong intuitive expectation of differential pricing of different lease maturities, to date the...

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 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...

What are the determinants of firms' market value? We incorporate quasi-fixed labor and intangible capital inputs into the neoclassical model of investment, and estimate the contribution of each input for explaining firms' market value. Using the generalized method of moments, we estimate that,...

Motivated from investment-based asset pricing, we propose a new factor model that consists of the market factor, a size factor, an investment factor, and a return-on-equity factor. The new model [i] outperforms the Carhart (1997) four-factor model in pricing portfolios formed on earnings...