Author's profile

Simon Steveson
Professor of Finance and Head of Real Estate
Cass Business School

Background

Author articles

  • This article examines the issues encountered in the modeling of market fundamentals during a period of extreme price behavior. The study analyzes the price behavior of the residential property market in Ireland using a number of alternative methodological approaches in the estimation of fundamental market value. Limitations in conventional models such as an inverted demand model are highlighted, in particular, with regard to diagnostic concerns and the static nature of the model. The use of an error correction framework provides more consistent and robust findings. The analysis does appear to indicate that a substantial premium over fundamental values developed in the Irish market during the late 1990s, reaching a peak in 1999 and 2000. However, in recent years, prices have largely been in line with fundamentals.

    27/10/2011 | 5,543
  • This paper analyzes the tail behavior of property stocks within an international context. Our results highlight the non-normality of property share returns for all of the major markets included in our sample.

    27/10/2011 | 5,460
  • This article examines long memory for alternative risk measures, observed absolute and squared returns for Daily Equity real estate investment trust (REITs) and compares the findings for a market equity index.

    27/10/2011 | 5,290
  • Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of daily REIT volatility. The paper examines the influencing factors on REIT volatility, documenting the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The results contrast with previous studies of monthly REIT volatility. Linkages within the REIT sector and with related sectors such as value stocks are diminished, while the general influence of market sentiment, coming through the large cap indices is enhanced. This would indicate that on a daily basis general market sentiment plays a more fundamental role than more intuitive relationships within the capital markets.

    29/09/2011 | 6,181
  • Using a sample of 3,788 firms from 23 developed countries for the period 1984-2003, we show that the more open the economy the more exposed are its firms to exchange rate movements, and this relation holds after controlling for firm size, industry and several financial variables.

    21/10/2011 | 5,137