ERES:conference

Following the recent financial crisis, the need for diversification cannot be over emphasized. This notwithstanding, some concerns have been raised regarding the efficacy of the conventional asset allocation methods. These traditional strategies encompass equal weighting, minimum variance, and...

This paper examines the distributional characteristics of REITs using the daily NAREIT indices for the period 1997-2004. While previous studies have examined the distributional properties of REITs, they have largely used lower frequency monthly data. This paper has two primary aims. Firstly, it...

ERES:conference

The housing market in the UK has seen a sustained increase in prices in recent years, in common with many international markets. The UK market has however witnessed distinct regional trends in price dynamics. This has been a common factor in the UK market as noted in the many papers that have...

ERES:conference

The paper will first describe the construction of indices of prices, rentals, yields and total returns for residential investments in Ghana. The performance measures run from 1992 to 2007 and are the first indicators of real estate investment performance in Ghana. They result from hedonic...

The paper compares and contrast the bias, accuracy, and uncertainty in US housing start forecasts. In comparison to the large forecast accuracy literature to have considered macroeconomic series a relatively smaller number of papers have considered the accuracy of property forecasts. Even in...

This study examines whether closed-ended private real estate funds exhibit performance persistence across vintage years. The relationship between capital flows and track-record, namely the performance flow relation, is also analyzed. The results provide evidence that performance persistence is a...

This study aims to examine the relationship between interest rate movements and the price reaction of UK property stocks. While previous exists concerning the sensitivity of indirect real estate vehicles to interest rates, this study extends this literature by examining the time-varying...