"Research on the role of real estate in the mixed asset portfolio, whether in the form of direct private holdings or indirect securitised forms of property investment, has focused on the diversification potential of the asset class. In addition to the investment characteristics of real estate...

In this paper, we present a unified theory of linear smoothing, which looks at the problem from a time-series perspective. We use the term ‘conversion’ to refer to generic operations that create a difference between true returns and reported returns. ‘Smoothing’ occurs when that...

Performance indices for illiquid investments are known to suffer from returns smoothing, and the purpose of this paper is to investigate the presence and nature of such smoothing in the context of venture capital. We find that while the standard techniques may or may not indicate the presence of...

This article examines claims about the diversification benefits of real estate. In particular, does real estate investment in a mixed asset portfolio provide protection when other asset classes are performing badly? Conventional portfolio strategy models utilising covariance statistics may...

Two strands of real estate research--that concerned with the relationships between securitized real estate and the underlying market and that dealing with the role of property in the wider economy--rarely are considered together. The paper utilizes the U.K. equity market and property company...

Much of the literature on the construction of mixed asset portfolios and the case for property as a risk diversifier rests on correlations measured over the whole of a given time series. Recent developments in finance, however, focuses on dependence in the tails of the distribution. Does...

Multifactor approaches to real estate returns have emphasized a macro-variables approach in preference to the latent factor approach originally used in arbitrage pricing theory. Use of high-frequency data, trading strategies and growing emphasis on the risks of extreme events makes the...

Multi-factor approaches to analysis of real estate returns have, since the pioneering work of Chan, Hendershott and Sanders (1990), emphasised a macro-variables approach in preference to the latent factor approach that formed the original basis of the arbitrage pricing theory. With increasing...

Quantitative analysis of property performance has tended to rely on linear models. This paper explores the possible insights of using non-linear, regime based models. It is argued that there may exist different regimes depending on the level of real interest rates. This is tested empirically...