Simon Stevenson

Old Dominion University | ODU · Department of Finance Strome College of Business

The econometric modelling of real estate can encounter a number of issues due to the functional utility and investment characteristics of property assets. One issue of particular importance is the inherent mismatch between inelastic supply and elastic demand. We examine the office markets in the five largest Australian cities using an asymmetric pa...

Futures contracts focused on listed real estate firms have increased in popularity in recent years, with strong developed markets now established in Australia, Europe, Japan, and the United States. This study builds upon what is still relatively small literature to consider two key elements. Firstly, using the approach of Bessembinder & Seguin (199...

Purpose This paper aims to improve the housing affordability by measuring the housing affordability in a resource-rich economy and studying the impact of implementing new policies . Design/methodology/approach This paper seeks to test the impact of new policies introduced to the Kuwaiti housing market to improve affordability. In 2008, the Kuwaiti...

We study if and how the structure of EU housing markets, particularly the role of structural breaks and the institutional characteristics of national residential mortgage markets across the EU countries affects the EU housing prices before the financial crisis of 2008. We document three main features: first, the institutional characteristics of res...

Purpose The purpose of this paper is to examine the sensitivity of the Kuwait housing market to major local and regional geo-political and economic events. Design/methodology/approach This paper examines the market dynamics of the housing market in Kuwait. Kuwait provides an interesting market to consider owing to its position as a major oil produ...

The importance of interest rates, in both financial markets and the broader economy, was clearly highlighted during and subsequent to the financial crisis of 2007-09. This paper examines the sensitivity of seven public real estate markets in Europe from 1995 to 2013. Europe is a particularly interesting market to look at in this context. Badly impa...

This paper examines house price dynamics, bank herding behavior, and the linkages between them. The analysis presented indicates that prior to the financial crisis, non-fundamental factors played a significant role in several European countries, including the United Kingdom, Spain, Denmark, Sweden, and Ireland. We also provide evidence indicative o...

The aim of this study is to examine how bank-specific, industry-specific and macroeconomic factors affect the profitability of 108 real estate banks from the U.S., the U.K. and Germany over the period from 2000 to 2014. The literature describing the profitability determinants of real estate banks is almost nonexistent. Similarly, there exist very f...

This study employs an asset pricing approach to quantify the exposure of private real estate funds to both private and publicly traded real estate risk factors. The analysis includes the creation of specific performance indices and the use of methods seeking to address some of the inherent issues with private real estate fund data, such as the high...

The importance of forecasts of the macroeconomy is assessed in the context of forecasts of the real estate market in the United Kingdom. We compare and contrast the accuracy and uncertainty in forecasts of rents, and capital and total returns with those for a variety of macroeconomic series. The results show that in general forecasters tend to be m...

Purpose The purpose of this paper is to establish an optimum mix of liquid, publicly traded assets that may be added to a real estate portfolio, such as those held by open-ended funds, to provide the liquidity required by institutional investors, such as UK defined contribution pension funds. This is with the objective of securing liquidity while...

Real estate securities have distinct characteristics that differentiate them from stocks generally. Key amongst them is that underpinning the firms are both real and investment assets. Therefore, the connections between the underlying macroeconomy and listed real estate firms are of heightened importance. To consider the linkages with macroeconomic...

While there is a large literature on both diversification and contagion issues across global listed real estate markets, there is only a limited amount of research on the drivers of correlation dynamics. Using both local and U.S. dollar denominated returns, I model conditional correlations across listed real estate sectors and also with the global...

Despite the growth seen in the private real estate fund market, there remains a paucity of academic work on their performance drivers and risk characteristics. This study empirically examines the characteristics and drivers who influence the performance and investment activity of private real estate funds. A detailed sample of US-focused closed-end...

In this paper, we consider how trading volume impacts the first three moments of real estate investment trust (REIT) returns. Consistent with previous studies of the broader stock market, we find that volume is a significant factor with respect to both returns and volatility. We also find evidence supportive of Hong and Stein’s (2003) Investor Hete...

The past 15 years have seen an extreme cycle in the Irish housing market. The cycle has, however, had three quite distinct phases and it is important when considering the Irish market to fully appreciate the different dynamics in each phase. The initial period of house price appreciation in the 1990s can largely be justified in terms of the strong...

This study considers the role that reserve prices may play in residential property auctions. In comparison to much of the previous empirical work, this study has access to undisclosed reserve prices from English auctions. Consistent with theoretical arguments in the auction literature, the results obtained illustrate that while higher reserve price...

This paper investigates the inter-relationships between real estate securities markets in Australia, Hong Kong, Japan, and Singapore. Two key issues are addressed, namely whether the markets are related in the short-term and secondly, whether short-run co-movement occurs bеtwееп the markets on a weekly basis. The long-term analysis finds minimal ev...

This paper examines the impact of the auction process of residential properties that whilst unsuccessful at auction sold subsequently. The empirical analysis considers both the probability of sale and the premium of the subsequent sale price over the guide price, reserve and opening bid. The findings highlight that the final achieved sale price is...

Existing empirical evidence has frequently observed that professional forecasters are conservative and display herding behaviour. Whilst a large number of papers have considered equities as well as macroeconomic series, few have considered the accuracy of forecasts in alternative asset classes such as real estate. We consider the accuracy of foreca...

Using a variation of the Nelson-Siegel term structure model we examine the sensitivity of real estate securities in six key global markets to unexpected changes in the level, slope and curvature of the yield curve. Our results confirm the time-sensitive nature of the exposure and sensitivity to interest rates and highlight the importance of conside...

This paper examines the degree of commonalities present in the cyclical behaviour of the eight largest metropolitan housing markets in Australia. Using two techniques originally proposed in the business cycle literature we firstly consider the degree of synchronisation present and secondly decompose the series into their permanent and cyclical comp...

This paper considers supply dynamics in the context of the Irish residential market. The analysis, in a multiple error-correction framework, reveals that although developers did respond to disequilibrium in supply, the rate of adjustment was relatively slow. In contrast, however, disequilibrium in demand did not impact upon supply, suggesting that...

In 2007 futures contracts were introduced based upon the listed real estate market in Europe. Following their launch they have received increasing attention from property investors, however, few studies have considered the impact their introduction has had. This study considers two key elements. Firstly, a traditional Generalized Autoregressive Con...

This paper examines the impact of changes in the composition of real estate stock indices, considering companies both joining and leaving the indices. Stocks that are newly included not only see a short-term increase in their share price, but trading volumes increase in a permanent fashion following the event. This highlights the importance of indi...

A large proportion of international real estate investment is concentrated in the office markets of the world's largest cities. However, many of these global cities are also key financial services centres, highlighting the possibility of reduced economic diversification from an investor's perspective. This paper assesses the degree of synchronizati...

The US Real Estate Investment Trust (REIT) market is the oldest and most established REIT market in the world. While REITs were formally created by Congress in 1960 their history actually goes back to the nineteenth century and Massachusetts. Massachusetts State law in the mid nineteenth century effectively precluded the use of a corporate structur...

Up until the mid-1990s Real Estate Investment Trusts (REITs) were largely confined to the United States and in Australia, where they were known until recently as Listed Property Trusts. Although in both markets a REIT type structure had been in existence for decades, they were, within the perspective of their broader equity markets, relatively smal...

The issue of whether Real Estate Investment Trusts (REITs) should pursue a focused or diversified investment strategy remains an ongoing debate within both the academic and industry communities. This article considers the relationship between REITs focused on different property sectors in a Generalized Autoregressive Conditional Heteroscedasticity-...

This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The motivation is for investors to incorporate time-varyng volatility and correlations in their portfoli...

One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a non- REIT equity index. The paper utilizes a variety of tests for long memory finding evidence that REIT vola...

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 REI...

This paper assesses the response of real estate investment trusts (REIT's) to unexpected changes in US monetary policy. A critical element in this study is the use of futures markets to isolate unexpected changes in the policy rate. We find a significant negative response of REIT returns to a surprise change in the policy rate. The paper then exami...

The issue of whether Real Estate Investment Trusts should pursue a focused or diversified investment strategy remains an ongoing debate within both the academic and industry communities. This paper considers the relationship between REITs focused on different property sectors in a GARCH-DCC framework. The daily conditional correlations reveal that...

Purpose – There is a general consensus that residential submarkets exist, but the basis upon which these are specified remains the subject of debate. The purpose of this paper is to model data on different residential locations in Ghana to show how the submarkets have performed over the past 16 years. Design/methodology/approach – The paper employ...

Purpose – The purpose of this paper is to provide technically robust indicators of housing market performance from the records held by the Ghana Land Valuation Board, through the construction of the first ever residential price and rent indices for the aggregate and disaggregate markets. Design/methodology/approach – The approach involved time ser...

This paper examines residential sale mechanisms from an appraisal perspective and empirically tests for differences in the valuation process for auctioned and private treaty sales. We test the hypothesis that agents use different criteria in preparing the guide prices for auctioned housing, with an element of under pricing in order to aid in the ma...

The benefits of openness to trade are well established, but the disadvantages of openness are less well understood. At the firm level trade is the principal source of exposure to exchange rate movements, and exchange exposure can be moderated by a range of hedging techniques. In this paper we ask two questions. First, do firms in open economies bea...

The paper studies the temporal variations in the conditional correlations between real estate investment trust (REIT) returns and equity, bond, and commodity returns. The findings reveal that the correlations between REITs and equity returns rose over the period analyzed, while the correlations with bonds and commodities fell. The findings also rev...

This paper re-examines the sensitivity and importance of interest rates and stock market price behavior on securitised property by decomposing their long-run impact between transient and permanent effects. This is achieved in a framework that accounts for endogenously determined structural breaks within the data. The results provide a different per...

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. We find that excess kurtosis decreases over time in all markets, in line with the distributional pattern of common stocks of comparable size....

This paper investigates the applicability of the hedonic approach for creating indices of residential real estate values from state land registration and valuation systems in Ghana, Africa. Using data on 2,950 transactions from five classified locations in Accra and Tema for 1992-2005, sale prices are modeled, first, for the aggregate sample, befor...

The links across and comovements between the New York and London office markets are examined in the context of similarities in the both underlying economic specialization of the two cities and also their positions as two of the most liquid international office markets. The results reveal strong linkages in the total returns between the two markets....

This study examines asymmetries in real estate investment trust (REIT) returns using a variety of metrics, and compares them to several stock indexes and the U.S. long-term government bond index. The findings reveal that skewness is inversely related to the index's relative performance; the equity indexes exhibit negative skewness during the boom p...

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 s...

One stylized feature of financial volatility impacting the modeling process is long memory. 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. The article utilizes a variety of tests for long...

This draft presents preliminary analysis on the panel modelling of regional office markets in Finland.

This paper uses a structural time series approach to isolate stochastic trend and cyclical components across a system of securitized Asian property markets. For the purposes of understanding the degree of commonality and spillover effects of behaviour across property markets, these real estate markets are treated as a system of endogenous variables...

Purpose – ARIMA models have been extensively examined in the context of the real estate market. The purpose of this paper is to examine issues relating to their application in a forecasting context. Specifically, the paper seeks to examine whether in‐sample measures of best‐fit and also past forecasting accuracy bear any relation to future forecast...

Recent evidence has suggested a strong relationship between Equity Real Estate Investment Trust (REIT) and value stocks. This article examines in depth not only the similarities in performance sectors but also the driving forces in the two sectors and the extent to which they are substitutable. The results indicate that while strong linkages are ev...

This paper explores the relationships between key sub-markets in the Central London office market. The paper models the intra-metropolitan dynamics and examines how sub-markets influence and impact upon one another. Set within a rent adjustment framework the modelling approach highlights the key linkages and allows a broader examination of the over...

This paper compares the performance of three alternative models in forecasting housing supply in the Irish Republic. The results highlight key behavioural issues in the dynamics of housing supply that the OLS and VAR models fail to adequately capture due to the inclusion of fundamental variables in their specification. The behaviour of developers i...

This paper examines the sensitivity of real estate securities to changes in both market and central bank interest rates. It is commonly viewed that the traded real estate market is one of the industry sectors most susceptible to interest rate movements. This is due to traditional high levels of borrowing, the impact of rate changes on property yiel...

As the globalization of world financial markets continues unabated the issue of benefits arising from international diversification becomes increasingly important. Due to the fixed geographical nature of the underlying product, securitized property might be considered immune from the effects of globalization, and to this extent researchers have con...

We investigate the influence of unanticipated changes in US monetary policy on Equity Real Estate Investment Trusts (REIT’s). Although a number of studies have investigated the issue of interest rate changes, the effect of unanticipated changes has not previously been addressed in terms of possible effects on both REIT’s returns and volatility. The...

Executive Summary. Using a time-varying approach, this paper examines the dynamics of volatility in the real estate investment trust (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 factors that influence REIT volatility, documenti...

Purpose This paper aims to re‐examine both the short‐ and long‐term performance of UK privatisations, with specific reference to the comparative performance of utility privatisations with non‐utility privatisations and private sector initial public offerings (IPOs). Design/methodology/approach The paper uses conventional event study methodology to...

This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR–GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The motivation is for investors to incorporate time-varyng volatility and correlations in their portfoli...

En este artículo se exploran los elementos clave que permiten identificar y medir la existencia de burbujas especulativas en los mercados de inmuebles residenciales. Después de revisar las cuesiones teóricas que subyacen al tema, los autores ofrecen también evidencia empírica respecto a los mercados australiano, irlandés y estadounidense, países do...

Purpose – The question as to whether it is better to diversify a real estate portfolio within a property type across the regions or within a region across the property types is one of continuing interest for academics and practitioners alike. However, this study is somewhat different from the usual sector/regional analysis in that this study is des...

Purpose – The use of modern portfolio theory (MPT) in the construction real estate portfolios has two serious limitations when used in an ex ante framework: the intertemporal instability of the portfolio weights; and the sharp deterioration in performance of the optimal portfolios outside the sample period used to estimate asset mean returns. Both...

This paper examines house price diffusion with the Republic of Ireland and between the Republic and Northern Ireland. The results show that a large degree of diffusion takes place, particularly from Dublin to the other regions, in a manner that is similar and consistent with the UK ripple effect. The results would also support previous evidence tha...

This study examines the performance of Irish domiciled funds over the period 1988 to 2000. The study specifically examines whether Irish portfolio managers, particularly in light of the small and thinly traded domestic market, can effectively partake in micro or macro forecasting. Four alternative models are used to jointly assess micro and macro f...

Collateral impacts of LULUCF projects, especially those concerning social and environmental aspects, have been recognised as important by the Marrakech Accords. The same applies to the necessity of assessing and, if possible, of quantifying the magnitude of these impacts. This article aims to define, clarify and structure the relevant social, econo...

This study examines the relationship between guide and sale prices for residential properties in Greater Dublin during the recent housing boom. The results indicate that degrees of divergence can be present, auctioned properties tend to sell more frequently at a premium to their guide price and that the average level of premium is also higher. Thes...

This study re-examines the potential role that direct real estate can play in institutional mixed-asset portfolios. The paper examines the statistical improvement in performance that can result from the inclusion of real estate in an international mixed asset portfolio, using both in-sample and out-of-sample data. Using US real estate data the resu...

Purpose This paper seeks to address the question of consistency, regarding the allocation of real estate in the mixed‐asset portfolio. Design/methodology/approach To address the question of consistency the allocation of real estate in the mixed‐asset portfolio was calculated over different holding periods varying from five to 25 years. For each po...

The poor performance of the Stock Market in the US up to the middle of 2003 has meant that REITs are increasingly been seen as an attractive addition to the mixed-asset portfolio. However, there is little evidence to indicate the consistency of the role REITs should play a role in the mixed-asset portfolio over different investment horizons. The re...

The performance of a sample of real estate funds over the period 1989-2001 is analysed in order to assess the fund manager's selection and timing ability. In addition to conventional performance measures a number of alternative techniques are also used in order to overcome potential biases present in CAPM based models. The results reveal that on av...

In estimating the inputs into the modern portfolio theory (MPT) portfolio optimisation problem, it is usual to use equal weighted historic data. Equal weighting of the data, however, does not take account of the current state of the market. Consequently this approach is unlikely to perform well in any subsequent period as the data is still reflecti...

This study compares apartment submarkets within a major European city. The price behavior of the Dublin, Ireland apartment market is tested using hedonic models and aggregate and disaggregate data. The results strongly indicate that the modeling of apartment markets at the disaggregate level does result in significant improvements in comparison to...

The analysis of apartment sub-markets and the modelling of such markets have attracted a considerable degree of attention recently. This study compares apartment submarkets within a major European city. The price behaviour of the Dublin, Ireland apartment market is tested using hedonic models and aggregate and disaggregate data. The results strongl...

This study examines the cross-border impact of central bank interest rate changes, using the example of the German Bundesbank. We examine the price impact of rate changes on both the general stock markets and on bank stocks in seven other European countries. The sample includes nations both within and outside of the European Union, and includes EU...

This article is the winner of the International Real Estate Investment/Portfolio Management manuscript prize (sponsored by LaSalle Investment Management) presented at the American Real Estate Society Annual Meeting. This article tests for the presence of both price continuation and price reversals in international real estate securities. The result...

Executive Summary. This study examines whether vol- atility in a variety of equity and fixed income sectors based in the United States influence the monthly vola- tility of real estate investment trusts (REITs). The anal- ysis is based on two alternative GARCH and EGARCH specifications and reveals a number of issues in relation to volatility spillo...

Executive Summary. This study examines the out-of- sample performance of equity real estate investment trust portfolios based on the NAREIT sector indices. The ar- ticle examines the use of alternative techniques to reduce estimation error and this improves out-of-sample per- formance. The findings reveal that unlike previous stud- ies of the capit...

This paper examines the conflicting outcomes of government intervention in the housing market with particular reference to taxation instruments. The use of fiscal policy as a demand-side measure within the Irish housing market is discussed. Outcomes include a high growth environment, unsustainable house price inflation and pressure on owner occupie...

Governmental tax policies have direct consequences for public spending and the distribution of wealth among a country’s population. But unintended consequences may also occur as a result of the design of those policies. We illustrate the potential impact of such unintended consequences by analyzing differences in home ownership mobility in Californ...

This study re-examines the relationship between real estate securities and inflation in a total of ten international markets. In addition to the raw data, both the orthogonalized and hedged approaches were adopted in order to strip out the general impact of the domestic equity market. The results revealed that there is minimal evidence of a positiv...

This study utilises style analysis to examine the effective asset mix of UK property companies, using both an unadjusted data set and one adjusted for leverage and general stock market sentiment. The findings illustrate that the style benchmarks are largely spilt between mid and small cap stocks and government bonds, while when the adjusted data se...

This study examines the use of downside risk measures in the construction of an optimal international portfolio, with particular reference to the estimated allocations in emerging markets and the out-of-sample performance of the optimal portfolios. The use of downside risk measures is assessed due to the problems of using a conventional mean-varian...

Governmental tax policies have direct consequences for public spending and the distribution of wealth among a country’s population. But unintended consequences may also occur as a result of the design of those policies. We illustrate the potential impact of such unintended consequences by analyzing differences in home ownership mobility in Californ...

This article is the winner of the International Real Estate Investment/Portfolio Management manuscript prize (sponsored by LaSalle Investment Management) presented at the 2000 American Real Estate Society Annual Meeting. This article re-examines the issue of international diversification in real estate securities and attempts to address the problem...

Executive Summary. This study examines the long- term diversification opportunities potentially available to real estate managers from using firstly real estate in- vestment trusts and secondly international real estate se- curities as a diversification tool. The results show that when optimal direct real estate portfolios are used as the base, whi...

Research concerning the introduction of the single currency has tended to concentrate on the impact on macroeconomics issues and in the foreign exchange markets, with very little research examining the potential impact in the equity markets. In addition, those papers that have examined the issue have tended to do so from an institutional perspectiv...

This study re-examines the relationship between real estate securities and inflation in a total of ten international markets. In addition to the raw data, both the orthogonalized and hedged approaches were adopted in order to strip out the general impact of the domestic equity market. The results revealed that there is minimal evidence of a positiv...