The paper studies the conditional risk premia and volatilities in the Real Estate Investment Trust sector. In particular, the conditional correlations of REITs are estimated against a variety of equity and bond series. The paper builds upon recent work in the REIT literature to have examined the...

This study makes use of a unique dataset of predominantly US and global closed-ended unlisted real estate funds to investigate their performance characteristics. The sample covers multiple vintage years and includes a number of fund specific features. These are used to identify the key...

This chapter employs an asset pricing approach to quantify the exposure of private property funds to publically traded and private real estate risk factors. These factors include the traditional size and growth factors, liquidity risk and macroeconomic drivers. Liquidity risk has been...

This paper re-examines the price behaviour of the residential property market in Ireland and specifically assess the extent to which a speculative bubble developed during the boom in the market since the mid-nineties. The paper uses a number of alternative methodological approaches in the...

Using both aggregate and firm level data we consider the divergence in the share prices of UK listed real estate firms relative to their Net Asset Value (NAV). Whilst it is often argued that REITs should trade close to their NAV the existing empirical evidence has often provided quite distinct...

This paper examines price behaviour at residential auctions. Using a dataset for Greater Dublin we analyse the price movement and the accuracy of quoted guide prices. A comparison is also made with private treaty sales, developing the analysis contained in Stevenson & Young (2004). The results...

This study aims to investigate the role of sponsor and internal corporate governance mechanisms in the performance of Asian REITs. The presence of sponsors, who are often the controlling unitholders of the REIT and the parent companies of the manager, is argued to exacerbate the agency costs....

This paper examines the regime-switching behaviour of the six major international securitised real estate markets by utilizing the Dynamic Markov-Switching methodology. Using crises-rich sample period of 1993-2010, we find that international securitised real estate returns can be sufficiently...

This paper assesses the response of Real Estate Investment Trusts (REIT's) to unexpected changes in US monetary policy. A critical element in this study is the use of futures markets to isolate unexpected changes in the policy rate. We find a significant negative response of REIT returns to a...

Purpose – This paper aims to re‐examine both the short‐ and long‐term performance of UK privatisations, with specific reference to the comparative performance of utility privatisations with non‐utility privatisations and private sector initial public offerings (IPOs)....