This study re‐examines the potential role that direct real estate can play in institutional mixed‐asset portfolios. The paper examines the statistical improvement in performance that can result from the inclusion of real estate in an international mixed asset portfolio, using both...

Purpose – ARIMA models have been extensively examined in the context of the real estate market. The purpose of this paper is to examine issues relating to their application in a forecasting context. Specifically, the paper seeks to examine whether in‐sample measures of best‐fit and also...

The literature concerned with British regional housing markets has been relatively limited, especially in comparison to the research undertaken with regard to the commercial market. This paper aims to redress the balance primarily in two areas. First, the performance of regional housing markets...

This study examines the performance of Irish domiciled funds over the period 1988 to 2000. The study specifically examines whether Irish portfolio managers, particularly in light of the small and thinly traded domestic market, can effectively partake in micro or macro forecasting. Four...

This paper examines the impact of the auction process of residential properties that whilst unsuccessful at auction sold subsequently. The empirical analysis considers both the probability of sale and the premium of the subsequent sale price over the guide price, reserve and opening bid. The...

A large number of studies have previously examined the effect of interest rate changes on the securitised real estate market. However, the majority have focused on aggregate index level data. Few studies have been undertaken on micro-level data. These lead to a question of whether previous...

The purpose of this paper is to examine the stability of the beta coefficient for US equity REITs over bull and bear market conditions. In particular, we assess whether and to what extent the implied relationship between beta and returns can be established in up and down market conditions using...

In this study, we examine how the transparency of securities affects herding among security analysts, measured in terms of the prevailing consensus and recent revisions by other analysts. Prior literature suggests a relationship between market information and analysts herding behavior, with the...

ERES:conference