Identifying groups of comparable individual assets for a relative comparison of investment performance presents a major difficulty for direct real estate investors. The old adage ‘no two properties are exactly the same' expresses this problem, yet investment managers require reliable this...

While style analysis has been studied extensively in equity markets, applications of this valuable tool for measuring and benchmarking performance and risk in a real estate context are still relatively new. Previous studies in the real estate market have identified three investment categories...

This article studies the ability of momentum strategies to generate extra-profits in private real estate markets. We test a variety of frequencies of portfolio re-weighting and periods over which winner and loser segments are identified. Finally, since real estate returns tend to be highly...

An extensive literature on smoothing issues in real estate markets has been published, covering a range of theoretical techniques, applications to indices and asset allocation. A recent paper by Geltner et al [2002] reviewed the main theoretical approaches to the construction of unsmoothing...

This work represents a first attempt to price European commercial mortgage backed securities (CMBS) and our results are consistent with research carried out in the US market. More specifically this research intends to study the significance of bond, mortgage and property-related variables in the...

We extend the IPO literature analysing the role of financial market integration in the development of IPO markets and the pricing of newly listed stocks. Using a hierarchical linear model, we show that differences in underpricing between markets with high and low financial integration levels are...

In this paper we investigate the commonly used auto-regressive filter method of adjusting appraisal-based real estate returns to correct for the perceived biases induced in the appraisal process. Many papers have been written on appraisal smoothing but remarkably few have considered the...

We evaluate a number of real estate sentiment indices to ascertain current and forward-looking information content that may be useful for forecasting demand and supply activities. Analyzing the dynamic relationships within a Vector Auto-Regression (VAR) framework and using the quarterly US data...