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A Meta Analysis of Real Estate Fund Performance
This paper provides evidence regarding the risk-adjusted performance of 19 UK real estate funds in the UK, over the period 1991-2001. Using Jensen's alpha the results are generally favorable towards the hypothesis that real estate fund managers showed superior risk-adjusted performance over this period. However, the paper then utilizes the...
Continental Shift? An Analysis of Convergence Trends in European Real Estate Equities
This paper investigates the effects of this 'event' on the behavior of stock returns in European real estate companies. A range of statistical tests is applied to the performance of European property companies to test for changes in segmentation, co-movement, and causality. The results suggest that, relative to the wider...
Time Weighted Portfolio Optimization
In estimating the inputs into the Modern Portfolio Theory MPT portfolio optimization problem, it is usual to use equal weighted historic data. Equal weighting of the data, however, does not take account of the current state of the market. Consequently, this approach is unlikely to perform well in any subsequent...
Persistence of UK Real Estate Returns: A Markov Chain Analysis
The persistence of investment performance is a topic of perennial interest to investors. The problem has been of particular interest to investors in real estate; not least because reported returns from investment in real estate are serially correlated thus implying some persistence in investment performance. This paper applies the established...
Attribution Analysis of Property Portfolios
This paper aims to clarify the potential confusion about the application of attribution analysis to real estate portfolios. Its three primary objectives are viz; To review, and as far as possible reconcile, the varying approaches to attribution analysis evident in the literature, To give a clear statement of the purposes...
Evidence of Cycles in European Commercial Real Estate Markets and Some Hypotheses
This paper seeks to achieve four objectives. First, it provides some contextual material concerning the performance of the UK real estate market relative to stocks and bonds over a long period. Second, it provides UK รป and some non-UK European - evidence of the tendency for property demand, supply, prices,...
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