The current study investigates whether the commercial real estate market is segmented from
the stock market using the framework of Jorion and Schwartz (1986). Evidence is found to …

The current study investigates whether real estate securities continue to act as a perverse
inflation hedge in foreign countries given security design differences. Both a stationary and a …

A severe problem facing both real estate researchers and investors is the lack of reliable real
estate returns data. Property shares, the shares of companies which invest in property and …

Real estate private equity (REPE) funds are often differentiated by risk class: Core, Value-Added,
or Opportunistic. Fund class is used by investors and managers to allocate funds and …

This study investigates whether the composition of the market portfolio leads to different
inferences on real estate performance. As a point of departure, this paper first explores whether …

Real estate has an accepted role as a diversification instrument in mixed‐asset portfolios.
To diversify within the real estate portfolio is the next step. However, due to lack of data, it is …

This study investigates the consequences of several imperfections associated with real
estate markets on pricing and optimal investor portfolios from a CAPM context. CAPM …

The current study investigates whether systematic skewness offers an alternative perspective
as to why the risk-adjusted returns on real estate should be similar to that for stocks. This is …

Real estate duration, or the sensitivity of its value to changes in interest rates, can be determined
using the dividend discount model. By modeling the speed of adjustment to inflation in …

This article examines the information content in a series of market commentaries covering
the publicly traded real estate market. The data are constructed from REIT-specific …