Evaluating the investment attributes and performance of property companies

Journal of Property Investment & Finance

Volumn 19, Issue 3, 2001, Pages 251-266

  Stevenson, Simon ^a  

^a UNIVERSITY COLLEGE DUBLIN   (Ireland)

Author keywords

Analysis; Performance; Property companies; United Kingdom

Indexed keywords

EID: 84986145322     PISSN: 1463578X     EISSN: None     Source Type: Journal    
DOI: 10.1108/14635780110387600     Document Type: Article

References (23)

1. Admati, A.R. and Ross, S.A. (1985), “Measuring investment performance in a rational expectations equilibrium model”, Journal of Business, Vol. 58, pp. 1-26.
2. Barkham, R. and Geltner, D. (1995), “Price discovery in American and British property markets”, Real Estate Economics, Vol. 23, pp. 21-44.
3. Bhattacharya, S. and Pfleiderer, P. (1983), A Note on Performance Evaluation, Technical Report 714, Stanford University, Stanford, CA.
4. Brooks, C. and Tsolacos, S. (1999), “The impact of economic and financial factors on UK property performance”, Journal of Property Research, Vol. 16, pp. 139-52.
5. Chen, S.J., Hsieh, C.H. and Jordan, B.D. (1997), “Real estate and arbitrage pricing theory: macrovariables vs. derived factors”, Real Estate Economics, Vol. 25, pp. 505-23.
6. Dybvig, P.H. and Ross, S.A. (1985), “The analysis of performance measurement using a security market line”, Journal of Finance, Vol. 40, pp. 383-99.
7. Fama, E.F. (1972), “Components of investment performance”, Journal of Finance, Vol. 27, pp. 551-67.
8. Gallo, J.G., Buttimer, R.J., Lockwood, L.J. and Rutherford, R.C. (1997), “Determinants of performance of mortgage-backed securities funds”, Real Estate Economics, Vol. 25, pp. 657-82.
9. Gallo, J.G., Lockwood, L.J. and Rutherford, R.C. (2000), “Asset allocation and the performance of real estate mutual funds”, Real Estate Economics, Vol. 28, pp. 165-84.
10. Giliberto, S.M. (1993), “Measuring real estate returns: the hedged REIT index”, Journal of Portfolio Management, Spring, pp. 94-9.
11. Grinblatt, M. and Titman, S. (1989), “Portfolio performance evaluation: old issues and new insights”, Review of Financial Studies, Vol. 2 No. 3, pp. 393-421.
12. Jensen, M.C. (1972), “Optimal utilization of market forecasts and the evaluation of investment performance”, in Szego, G.P. and Shell, K. (Eds), Mathematical Models in Investment & Finance, Elsevier, Amsterdam.
13. Lee, C.F. and Rahman, S. (1990), “New evidence on timing and mutual fund performance: an empirical investigation”, Journal of Business, Vol. 63, pp. 261-78.
14. Lee, S. (1997), “The components of property fund performance”, Journal of Real Estate Portfolio Management, Vol. 3, pp. 97-106.
15. Lee, S. (1999), “Style analysis and property fund performance”, Journal of Property Investment & Finance, Vol. 17, pp. 145-56.
16. Liang, Y. and McIntosh, W. (1998), “REIT style and performance”, Journal of Real Estate Portfolio Management, Vol. 4, pp. 69-78.
17. Sharpe, W.F. (1964), “Capital asset prices: a theory of market equilibrium under conditions of risk”, Journal of Finance, Vol. 19, pp. 425-42.
18. Sharpe, W.F. (1988), “Determining a fund's effective asset mix”, Investment Management Review, December, pp. 59-69.
19. Sharpe, W.F. (1992), “Asset allocation, management style and performance measurement”, Journal of Portfolio Management, Winter, pp. 7-19.
20. Stevenson, S. (2000), “International real estate diversification: empirical tests using hedged indices”, Journal of Real Estate Research, Vol. 19, pp. 105-31.
21. Stevenson, S., Kinsella, R. and O'Healai, R. (1997), “Irish property funds: empirical evidence on market timing and selectivity”, Journal of Irish Business and Administrative Research, Vol. 18, pp. 163-76.
22. Treynor, J.L. and Mazuy, K. (1966), “Can mutual funds outguess the market?”, Harvard Business Review, Vol. 44 No. 4, pp. 131-6.
23. Webb, J. and Myer, F.C.N. (1996), “Management style and asset allocation in real estate portfolios”, Journal of Real Estate Portfolio Management, Vol. 2, pp. 119-26