The Changing Benefit of REITs to the Mixed-Asset Portfolio

Author(s):

Stephen Lee

A number of studies have examined the allocation of public real estate securities (REITs) in the mixed-asset portfolio. Yet no study has explicitly examined what are the benefits REITs offer to the traditional capital market only mixed-asset portfolio, i.e. whether REITs are a return enhancer, diversifier, or both?

Updated: 04/01/2015
Comments: 24
Views: 8,225

Private real estate: risk diversifier, return enhancer or both?

Author(s):

Stephen Lee

A number of studies in the US have examined the optimum allocation of real estate in the mixed-asset portfolio and find that a large allocation to real estate can be justified.

Updated: 01/01/2015
Comments: 13
Views: 7,233

The Benefits of Public and Private Real Estate

There is extant literature showing that private real estate has a major part to play in the mixed-asset portfolio. There is also a good deal of evidence showing that Real Estate Investment Trusts (REITs) make a substantial contribution to the mixed-asset portfolio.

Updated: 24/10/2011
Comments:
Views: 5,950

An economic geography of real estate investment in England and Wales

Author(s):

Stephen Lee

 et al.

There has been something of a debate about the thinking that prescribes the decisions to develop or invest in real estate in particular locations in the UK, and how this has continued to dictate the location of such investment.

Updated: 27/11/2014
Comments: 29
Views: 7,549

European real estate market convergence

Author(s):

Stephen Lee

 et al.

This paper uses the concepts of Beta-convergence and Sigma-convergence to evaluate empirically the hypothesis of rent and yield convergence in seven European office markets during the period 1982-2009.

Updated: 24/10/2011
Comments:
Views: 6,958

Stochastic processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics

We consider a new class of processes, called LG processes, defined as linear combinations ofindependent gamma processes. Their distributional and path-wise properties are explored by following their relation to polynomial and Dirichlet (B-) splines. In particular, it is shown that the density of an LG process can be expressed in terms of Dirichlet (B-) splines, introduced independently by Ignatov and Kaishev (1987, 1988, and 1989) and Karlin et al. (1986).

Updated: 22/09/2011
Comments:
Views: 6,391

Momentum profits, non-normality risks and the business cycle

This paper investigates the extent to which the profitability of momentum strategies is a compensation for exposure to systematic departures from normality. We document that winner returns are more negatively skewed than loser returns, and that the winners exhibit higher positive kurtosis than the losers.

Updated: 24/10/2011
Comments:
Views: 5,560

Tactical allocation in commodity futures markets: combining momentum and term structure signals

This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies.

Updated: 05/01/2015
Comments: 8
Views: 7,906

M&A in recovery: new studies from Cass' M&A research centre

The M&A Research Centre at Cass Business School blends academic expertise with know-how and experience from practitioners to produce rigorous and relevant research in the area of global acquisitions, mergers and corporate restructurings.

Updated: 29/01/2013
Comments:
Views: 11,414