Style analysis in real estate markets: Beyond the sector and region dichotomy

Journal of Portfolio Management

Volumn 35, Issue 5, 2009, Pages

  Fuerst, Franz ^a   Marcato, Gianluca ^a  

^a UNIVERSITY OF READING   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 73249145904     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/JPM.2009.35.5.104     Document Type: Article

References (29)

1. Akerlof, G. A. "The Market for 'Lemons': Qualitative Uncertainty and the Market Mechanism." Quarterly Journal of Economics, Vol. 84, No. 3 (1970), pp. 488-500.
2. Amenc, N., D. Sfeir, and L. Martellini. "An Integrated Framework for Style Analysis and Performance Measurement." Journal of Performance Measurement, Vol. 7, No. 4 (2002), pp. 35-41.
3. Brown, S., and W. Goetzmann. "Mutual Fund Style Analysis." Journal of Financial Economics, 43 (1997), pp. 373-399.
4. Byrne, P., and S. Lee. "An Exploration of the Relationship between Size, Diversification, and Risk in U. K. Real Estate Portfolios: 1989-1999." Journal of Property Research, Vol. 20, No. 2 (2003), pp. 191-206.
5. Callender, M., S. Devaney, A. Sheahan, and T. Key. "Risk Reduction and Diversification in U. K. Commercial Property Portfolios." Journal of Property Research, Vol. 24, No. 4 (2007), pp. 355-375.
6. Cannon, S., N. G. Miller, and G. S. Pandher. "Risk and Return in the U. S. Housing Market: A Cross-Sectional Asset-Pricing Approach." Real Estate Economics, Vol. 34, No. 4 (2006), pp. 519-552.
7. Conner, P., and Y. Liang. "Institutional Real Estate Investment: Evolution and Innovation." Real Estate Finance, Vol. 20, No. 3 (2003), pp. 2-10.
8. De Roon, F. A., T. E. Nijman, and J. R. ter Horst. "Evaluating Style Analysis." Journal of Empirical Finance, Vol. 11, No. 1 (2004), pp. 29-53.
9. Dunse, N., C. Leishman, and C. Watkins. "Classifying Office Submarkets." Journal of Property Investment and Finance, Vol. 19, No. 3 (2000), pp. 236-250.
10. Fama, E. F., and J. MacBeth. "Risk, Return, and Equilibrium: Empirical Tests." Journal of Political Economy, 81 (1973), pp. 607-636.
11. Fuerst, F., and G. Marcato. "Testing and Improving Commercial Real Estate Market Segmentations with Cluster Analysis and Neural Network Techniques." Working Paper, School of Real Estate and Planning Working Paper Series, Henley Business School, University of Reading, 2009.
12. Kaiser, R. W. "Investment Styles and Style Boxes in Equity Real Estate: Can the Emerging Model Succeed in Classifying Real Estate Alternatives?" Journal of Real Estate Portfolio Management, Vol. 11, No. 1 (2005), pp. 5-18.
13. Keim, D. B., and A. Madhavan. "Transaction Costs and Investment Style: An Inter-Exchange Analysis of Institutional Equity Trades." Journal of Financial Economics, 3 (1997), pp. 265-292.
14. Kemp, M., M. Richardson, and C. Wilson. "Investment Manager Style Analysis." Faculty and Institute of Actuaries Investment Conference, 2000.
15. Kuenzi, D. E., and X. Shi. "Asset-Based Style Analysis for Equity Strategies: The Role of the Volatility Factor." Journal of Alternative Investments, Summer 2007, pp. 10-23.
16. Lee, S. "The Relative Importance of Sectors vs. Regions in Determining Property Returns." PPvRES Conference, January 1998.
17. -. "Style Analysis and Property Fund Performance." Journal of Property Investment and Finance, Vol. 17, No. 2 (1999), pp. 145-59.
18. Lee, S., and S. Devaney. "The Changing Importance of Sector and Regional Factors in Real Estate Returns: 1987-2002." Journal of Property Research, Vol. 24, No. 1 (2007), pp. 55-69.
19. Liang, Y., and W. Mcintosh. "REIT Style and Performance." Journal of Real Estate Portfolio Management, Vol. 4, No. 1 (1998), pp. 69-78.
20. Liang, Y., and W. Whitaker. "Style Attributes of Equity REITs." Journal of Real Estate Finance, Vol. 17, No. 2 (2000), pp. 31-36.
21. Lucas, L., and M. W. Riepe. "The Role of Returns-Based Style Analysis: Understanding, Implementing, and Interpreting the Technique." Ibbotson Associates, 1996.
22. Marcato, G. "Style Analysis in Real Estate Markets and the Construction of Value and Growth Indices." Journal of Real Estate Portfolio Management, Vol. 10, No. 3 (2004), pp. 203-215.
23. Myer, F. C. N., M. Young, and J. R. Webb. "Equity REIT Clusters." Working Paper, Cleveland State University, April 1999.
24. NCREIF. "Real Estate Investment Styles: Trends from the Catwalk." NCREIF Styles White Paper, November 2003.
25. Neo, P. H., S. E. Ong, and Y. Tu. "Buyer Exuberance and Price Premium." Urban Studies, Vol. 45, No. 2 (2008), pp. 331-345.
26. Roberts, C., and J. Henneberry. "Exploring Office Investment Decision Making in Different European Contexts." Journal of Property Investment and Finance, Vol. 25, No. 3 (2007), pp. 289-305.
27. Rock, K. "Why New Issues Are Underpriced." Journal of Financial Economics, Vol. 15, No. 1/2 (1986), pp. 187-212.
28. Schnare, A., and R. Struyk. "Segmentation in Urban Housing Markets." Journal of Urban Economics, 3 (1976), pp. 146-166.
29. Sharpe, WE "Asset Allocation: Management Style and Performance Measurement." Journal of Portfolio Management, Vol. 18, No. 2 (1992), pp. 7-19.