Advertisement

Real Estate

  • Zura Kakushadze
  • Juan Andrés Serur
Chapter

Abstract

This chapter discusses various real estate trading strategies, including using real estate as a diversification tool in portfolios with traditional assets such as stocks and bonds, intra-asset diversification within real estate by criteria such as geographic area, type of property, size, proximity to a metropolitan area and economic region, strategies based on momentum in the real estate returns observed in various metropolitan statistical areas (MSAs), including zero-cost strategies, which can be constructed by using alternative real estate vehicles such as real estate investment trusts (REITs) and futures and options on U.S. housing indexes based on different geographical areas, using real estate as an inflation hedge in some cases with emphasis on commercial real estate, which tends to adjust faster to inflationary price increases, and short-term fix-and-flip real estate strategies, which deal with real estate properties in distressed condition that require renovations.

Keywords

Real estate Mixed-asset diversification Intra-asset diversification Geographic area Property type Economic region Economic activity Economic diversification Industrial properties Geographic diversification Metropolitan statistical area (MSA) Momentum effect Zero-cost strategies Real estate investment trust (REIT) Inflation hedging Commercial real estate Fix-and-flip Residential real estate Cash flow Mean-variance optimization Non-systematic risk Vector Autoregressive model (VAR) Real estate momentum Risk-adjusted return Traditional portfolio 

References

  1. Abraham, J. M., & Hendershott, P. H. (1993). Patterns and Determinants of Metropolitan House Prices, 1977 to 1991. In L. E. Browne & E. S. Rosengren (Eds.), Real Estate and the Credit Crunch (pp. 18–42). Boston, MA: Federal Reserve Bank of Boston.Google Scholar
  2. Abraham, J. M., & Hendershott, P. H. (1996). Bubbles in Metropolitan Housing Markets. Journal of Housing Research, 7(2), 191–207.Google Scholar
  3. Anacker, K. B. (2009). Big Flipping Schemes in Small Cities? The Case of Mansfield, Ohio. Housing and Society, 36(1), 5–28.CrossRefGoogle Scholar
  4. Anacker, K. B., & Schintler, L. A. (2015). Flip That House: Visualising and Analysing Potential Real Estate Property Flipping Transactions in a Cold Local Housing Market in the United States. International Journal of Housing Policy, 15(3), 285–303.CrossRefGoogle Scholar
  5. Anglin, P. M., Rutherford, R., & Springer, T. (2003). The Trade-off Between the Selling Price of Residential Properties and Time-on-the-Market: The Impact of Price Setting. Journal of Real Estate Finance and Economics, 26(1), 95–111.CrossRefGoogle Scholar
  6. Barberis, N. (2000). Investing for the Long Run when Returns Are Predictable. Journal of Finance, 55(1), 225–264.CrossRefGoogle Scholar
  7. Bayer, P. J., Geissler, C., Mangum, K., & Roberts, J. W. (2015). Speculators and Middlemen: The Strategy and Performance of Investors in the Housing Market (Working Paper). Available online: https://ssrn.com/abstract=1754003.
  8. Beracha, E., & Downs, D. H. (2015). Value and Momentum in Commercial Real Estate: A Market-Level Analysis. Journal of Portfolio Management, 41(6), 48–61.CrossRefGoogle Scholar
  9. Beracha, E., & Skiba, H. (2011). Momentum in Residential Real Estate. Journal of Real Estate Finance and Economics, 43(3), 229–320.CrossRefGoogle Scholar
  10. Block, R. L. (2011). Investing in REITs: Real Estate Investment Trusts. New York, NY: Bloomberg Press.Google Scholar
  11. Bond, M. T., & Seiler, M. J. (1998). Real Estate Returns and Inflation: An Added Variable Approach. Journal of Real Estate Research, 15(3), 327–338.Google Scholar
  12. Buttimer, R. J., Hyland, D. C., & Sanders, A. B. (2005). REITs, IPO Waves, and Long-Run Performance. Real Estate Economics, 33(1), 51–87.CrossRefGoogle Scholar
  13. Campbell, J. Y. (1991). A Variance Decomposition for Stock Returns. Economic Journal, 101(405), 157–179.CrossRefGoogle Scholar
  14. Campbell, J. Y., Chan, Y. L., & Viceira, L. M. (2003). A Multivariate Model of Strategic Asset Allocation. Journal of Financial Economics, 67(1), 41–80.CrossRefGoogle Scholar
  15. Campbell, J. Y., & Viceira, L. M. (2004). Long-Horizon Mean-Variance Analysis: A User Guide (Working Paper). Available online: http://www.people.hbs.edu/lviceira/faj_cv_userguide.pdf.
  16. Campbell, J. Y., & Viceira, L. M. (2005). The Term Structure of the Risk: Return Trade-Off. Financial Analysts Journal, 61(1), 34–44.CrossRefGoogle Scholar
  17. Caplin, A., & Leahy, J. (2011). Trading Frictions and House Price Dynamics. Journal of Money, Credit and Banking, 43(7), 283–303.CrossRefGoogle Scholar
  18. Capozza, D. R., Hendershott, P. H., & Mack, C. (2004). An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets. Real Estate Economics, 32(1), 1–32.CrossRefGoogle Scholar
  19. Case, K. E., & Shiller, R. J. (1987). Prices of Single Family Homes Since 1970: New Indexes for Four Cities. Federal Reserve Bank of Boston, New England Economic Review, September-October, 1987, 45–56.Google Scholar
  20. Case, K. E., & Shiller, R. J. (1989). The Efficiency of the Market for Single-Family Homes. American Economic Review, 79(1), 125–137.Google Scholar
  21. Case, K. E., & Shiller, R. J. (1990). Forecasting Prices and Excess Returns in the Housing Market. Real Estate Economics, 18(3), 253–273.CrossRefGoogle Scholar
  22. Chan, K. C., Hendershott, P. H., & Sanders, A. B. (1990). Risk and Return on Real Estate: Evidence from Equity REITs. AREUEA Journal, 18(4), 431–452.CrossRefGoogle Scholar
  23. Chan, S. H., Leung, W. K., & Wang, K. (1998). Institutional Investment in REITs: Evidence and Implications. Journal of Real Estate Research, 16(3), 357–374.Google Scholar
  24. Chen, S.-J., Hsieh, C., Vines, T. W., & Chiou, S. (1998). Macroeconomic Variables, Firm-Specific Variables and Returns to REITs. Journal of Real Estate Research, 16(3), 269–278.Google Scholar
  25. Chinco, A., & Mayer, C. (2012). Distant Speculators and Asset Bubbles in the Housing Market (Working Paper). Available online: http://www.econ.yale.edu/~shiller/behfin/2012-04-11/Chinco_Mayer.pdf.
  26. Cho, M. (1996). House Price Dynamics: A Survey of Theoretical and Empirical Issues. Journal of Housing Research, 7(2), 145–172.Google Scholar
  27. Chui, A. C. W., Titman, S., & Wei, K. C. J. (2003a). The Cross-Section of Expected REIT Returns. Real Estate Economics, 31(3), 451–479.CrossRefGoogle Scholar
  28. Chui, A. C. W., Titman, S., & Wei, K. C. J. (2003b). Intra-industry Momentum: The Case of REITs. Journal of Financial Markets, 6(3), 363–387.CrossRefGoogle Scholar
  29. Cooper, M., Downs, D. H., & Patterson, G. A. (1999). Real Estate Securities and a Filter-Based, Short-Term Trading Strategy. Journal of Real Estate Research, 18(2), 313–334.Google Scholar
  30. Corbett, M. (2006). Find It, Fix It, Flip It! Make Millions in Real Estate—One House at a Time. New York, NY: Plume.Google Scholar
  31. De Wit, I. (2010). International Diversification Strategies for Direct Real Estate. Journal of Real Estate Finance and Economics, 41(4), 433–457.CrossRefGoogle Scholar
  32. de Wit, E. R., & van der Klaauw, B. (2013). Asymmetric Information and List-Price Reductions in the Housing Market. Regional Science and Urban Economics, 43(3), 507–520.CrossRefGoogle Scholar
  33. Depken, C. A., Hollans, H., & Swidler, S. (2009). An Empirical Analysis of Residential Property Flipping. Journal of Real Estate Finance and Economics, 39(3), 248–263.CrossRefGoogle Scholar
  34. Depken, C. A., Hollans, H., & Swidler, S. (2011). Flips, Flops and Foreclosures: Anatomy of a Real Estate Bubble. Journal of Financial Economic Policy, 3(1), 49–65.CrossRefGoogle Scholar
  35. Derwall, J., Huij, J., Brounen, D., & Marquering, W. (2009). REIT Momentum and the Performance of Real Estate Mutual Funds. Financial Analysts Journal, 65(5), 24–34.CrossRefGoogle Scholar
  36. Eichholtz, P. M. A., Hoesli, M., MacGregor, B. D., & Nanthakumaran, N. (1995). Real Estate Portfolio Diversification by Property Type and Region. Journal of Property Finance, 6(3), 39–59.CrossRefGoogle Scholar
  37. Eldred, G. W. (2004). The Beginner’s Guide to Real Estate Investing. Hoboken, NJ: Wiley.Google Scholar
  38. Ertugrul, M., & Giambona, E. (2011). Property Segment and REIT Capital Structure. Journal of Real Estate Finance and Economics, 43(4), 505–526.CrossRefGoogle Scholar
  39. Fama, E. F., & Schwert, G. W. (1977). Asset Returns and Inflation. Journal of Financial Economics, 5(2), 115–146.CrossRefGoogle Scholar
  40. Feldman, B. E. (2003). Investment Policy for Securitized and Direct Real Estate. Journal of Portfolio Management, 29(5), 112–121.CrossRefGoogle Scholar
  41. Firstenberg, P. M., Ross, S. A., & Zisler, R. C. (1988). Real estate: The Whole Story. Journal of Portfolio Management, 14(3), 22–34.CrossRefGoogle Scholar
  42. Fugazza, C., Guidolin, M., & Nicodano, G. (2007). Investing for the Long-Run in European Real Estate. Journal of Real Estate Finance and Economics, 34(1), 35–80.CrossRefGoogle Scholar
  43. Fu, Y., & Qian, W. (2014). Speculators and Price Overreaction in the Housing Market. Real Estate Economics, 42(4), 977–1007.CrossRefGoogle Scholar
  44. Gatzlaff, D. H., & Tirtiroglu, D. (1995). Real Estate Market Efficiency: Issues and Evidence. Journal of Real Estate Literature, 3(2), 157–189.Google Scholar
  45. Geltner, D. M., Miller, N. G., Clayton, J., & Eichholtz, P. (2006). Commercial Real Estate Analysis and Investments (2nd ed.). Atlanta, GA: OnCourse Learning Publishing.Google Scholar
  46. Geltner, D. M., Rodriguez, J. V., & O’Connor, D. (1995). The Similar Genetics of Public and Private Real Estate and the Optimal Long-Horizon Portfolio Mix. Real Estate Finance, 12(3), 13–25.Google Scholar
  47. Genesove, D., & Han, L. (2012). Search and Matching in the Housing Market. Journal of Urban Economics, 72(1), 31–35.CrossRefGoogle Scholar
  48. Genesove, D., & Mayer, C. (1997). Equity and Time to Sale in the Real Estate Market. American Economic Review, 87(3), 255–269.Google Scholar
  49. Genesove, D., & Mayer, C. (2001). Loss Aversion and Seller Behavior: Evidence From the Housing Market. Quarterly Journal of Economics, 116(4), 1233–1260.CrossRefGoogle Scholar
  50. Goebel, P. R., Harrison, D. M., Mercer, J. M., & Whitby, R. J. (2013). REIT Momentum and Characteristic-Related REIT Returns. Journal of Real Estate Finance and Economics, 47(3), 564–581.CrossRefGoogle Scholar
  51. Goetzmann, W. N., & Ibbotson, R. G. (1990). The Performance of Real Estate as an Asset Class. Journal of Applied Corporate Finance, 3(1), 65–76.CrossRefGoogle Scholar
  52. Graff, R. A., Harrington, A., & Young, M. S. (1999). Serial Persistence in Disaggregated Australian Real Estate Returns. Journal of Real Estate Portfolio Management, 5(2), 113–128.Google Scholar
  53. Graff, R. A., & Young, M. S. (1997). Serial Persistence in Equity REIT Returns. Journal of Real Estate Research, 14(3), 183–214.Google Scholar
  54. Grissom, T. V., Kuhle, J. L., & Walther, C. H. (1987). Diversification Works in Real Estate, Too. Journal of Portfolio Management, 13(2), 66–71.CrossRefGoogle Scholar
  55. Gunasekarage, A., Power, D. M., & Ting Zhou, T. T. (2008). The Long-Term Inflation Hedging Effectiveness of Real Estate and Financial Assets: A New Zealand Investigation. Studies in Economics and Finance, 25(4), 267–278.CrossRefGoogle Scholar
  56. Gupta, R., & Miller, S. M. (2012). “Ripple Effects” and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix. Annals of Regional Science, 48(3), 763–782.CrossRefGoogle Scholar
  57. Guren, A. M. (2014). The Causes and Consequences of House Price Momentum (Working Paper). Available online: http://scholar.harvard.edu/files/guren/files/gurenjmp.pdf.
  58. Hagopian, G. C. (1999). Property-Flipping and Fraudulent Appraisals: The Phenomenon and the Crackdown. Assessment Journal, 6(6), 33–39.Google Scholar
  59. Hamelink, F., & Hoesli, M. (1996). Swiss Real Estate as a Hedge Against Inflation: New Evidence Using Hedonic and Autoregressive Models. Journal of Property Finance, 7(1), 33–49.CrossRefGoogle Scholar
  60. Hartzell, D. J., Eichholtz, P., & Selender, A. (2007). Economic Diversification in European Real Estate Portfolios. Journal of Property Research, 10(1), 5–25.CrossRefGoogle Scholar
  61. Hartzell, D. J., Hekman, J. S., & Miles, M. E. (1986). Diversification Categories in Investment Real Estate. Real Estate Economics, 14(2), 230–254.CrossRefGoogle Scholar
  62. Hartzell, D. J., Hekman, J. S., & Miles, M. E. (1987). Real Estate Returns and Inflation. Real Estate Economics, 15(1), 617–637.CrossRefGoogle Scholar
  63. Hartzell, D. J., Shulman, D. G., & Wurtzebach, C. H. (1987). Refining the Analysis of Regional Diversification for Income-Producing Real Estate. Journal of Real Estate Research, 2(2), 85–95.Google Scholar
  64. Hastings, A., & Nordby, H. (2007). Benefits of Global Diversification on a Real Estate Portfolio. Journal of Portfolio Management, 33(5), 53–62.CrossRefGoogle Scholar
  65. Haurin, D. R., Haurin, J. L., Nadauld, T., & Sanders, A. (2010). List Prices, Sale Prices and Marketing Time: An Application to U.S. Housing Markets. Real Estate Economics, 38(4), 659–685.CrossRefGoogle Scholar
  66. Haurin, D. R., & Gill, H. L. (2002). The Impact of Transaction Costs and the Expected Length of Stay on Homeownership. Journal of Urban Economics, 51(3), 563–584.CrossRefGoogle Scholar
  67. Head, A., Lloyd-Ellis, H., & Sun, H. (2014). Search, Liquidity, and the Dynamics of House Prices and Construction. American Economic Review, 104(4), 1172–1210.CrossRefGoogle Scholar
  68. Hoesli, M., & Lekander, J. (2008). Real Estate Portfolio Strategy and Product Innovation in Europe. Journal of Property Investment & Finance, 26(2), 162–176.CrossRefGoogle Scholar
  69. Hoevenaars, R. P. M. M., Molenaar, R. D. J., Schotman, P. C., & Steenkamp, T. B. M. (2008). Strategic Asset Allocation with Liabilities: Beyond Stocks and Bonds. Journal of Economic Dynamics and Control, 32(9), 2939–2970.CrossRefGoogle Scholar
  70. Hudson-Wilson, S. (1990). New Trends in Portfolio Theory. Journal of Property Management, 55(3), 57–58.Google Scholar
  71. Hudson-Wilson, S., Gordon, J. N., Fabozzi, F. J., Anson, M. J. P., & Giliberto, M. (2005). Why Real Estate? Journal of Portfolio Management, 31(5), 12–21.CrossRefGoogle Scholar
  72. Kallberg, J. G., Liu, C. L., & Trzcinka, C. (2000). The Value Added from Investment Managers: An Examination of Funds of REITs. Journal of Financial and Quantitative Analysis, 35(3), 387–408.CrossRefGoogle Scholar
  73. Kandel, S., & Stambaugh, R. F. (1987). Long-Horizon Returns and Short-Horizon Models (CRSP Working Paper No. 222). Chicago, IL: University of Chicago.Google Scholar
  74. Kang, H. B., & Gardner, J. (1989). Selling Price and Marketing Time in the Residential Real Estate Market. Journal of Real Estate Research, 4(1), 21–35.Google Scholar
  75. Karolyi, G. A., & Sanders, A. B. (1998). The Variation of Economic Risk Premiums in Real Estate Returns. Journal of Real Estate Finance and Economics, 17(3), 245–262.CrossRefGoogle Scholar
  76. Kemp, K. (2007). Flipping Confidential: The Secrets of Renovating Property for Profit in Any Market. Hoboken, NJ: Wiley.Google Scholar
  77. Knight, J. R. (2002). Listing Price, Time on Market, and Ultimate Selling Price: Causes and Effects of Listing Price Changes. Real Estate Economics, 30(2), 213–237.CrossRefGoogle Scholar
  78. Krainer, J. (2001). A Theory of Liquidity in Residential Real Estate Markets. Journal of Urban Economics, 49(1), 32–53.CrossRefGoogle Scholar
  79. Kuhle, J., & Alvayay, J. (2000). The Efficiency of Equity REIT Prices. Journal of Real Estate Portfolio Management, 6(4), 349–354.Google Scholar
  80. Larkin, D. E., Babin, M. L., & Rose, C. A. (2004). Structuring European Real Estate Private Equity Funds. Briefings in Real Estate Finance, 3(3), 229–235.CrossRefGoogle Scholar
  81. Le Moigne, C., & Viveiros, É. (2008). Private Real Estate as an Inflation Hedge: An Updated Look with a Global Perspective. Journal of Real Estate Portfolio Management, 14(4), 263–286.Google Scholar
  82. Lee, S. (2010). The Changing Benefit of REITs to the Multi-asset Portfolio. Journal of Real Estate Portfolio Management, 16(3), 201–215.Google Scholar
  83. Lee, S., & Stevenson, S. (2005). The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run. Journal of Real Estate Portfolio Management, 11(1), 55–80.Google Scholar
  84. Leung, C. K. Y., & Tse, C.-Y. (2013). Flippers in Housing Market Search (Working Paper). Available online: https://hub.hku.hk/bitstream/10722/190689/1/Content.pdf.
  85. Levitt, S. D., & Syverson, C. (2008). Market Distortions When Agents Are Better Informed: The Value of Information in Real Estate Transactions. Review of Economics and Statistics, 90(4), 599–611.CrossRefGoogle Scholar
  86. Lin, C. Y., & Yung, K. (2004). Real Estate Mutual Funds: Performance and Persistence. Journal of Real Estate Research, 26(1), 69–93.Google Scholar
  87. Liu, C. H., & Mei, J. (1992). The Predictability of Returns on Equity REITs and Their Co-movement with Other Assets. Journal of Real Estate Finance and Economics, 5(4), 401–418.CrossRefGoogle Scholar
  88. Li, Y., & Wang, K. (1995). The Predictability of REIT Returns and Market Segmentation. Journal of Real Estate Research, 10(5), 471–482.Google Scholar
  89. MacKinnon, G. H., & Al Zaman, A. (2009). Real Estate for the Long Term: The Effect of Return Predictability on Long-Horizon Allocations. Real Estate Economics, 37(1), 117–153.CrossRefGoogle Scholar
  90. Malizia, E. E., & Simons, R. A. (1991). Comparing Regional Classifications for Real Estate Portfolio Diversification. Journal of Real Estate Research, 6(1), 53–77.Google Scholar
  91. Malpezzi, S. (1999). A Simple Error Correction Model of House Prices. Journal of Housing Economics, 8(1), 27–62.CrossRefGoogle Scholar
  92. Mauer, R., & Sebastian, S. (2002). Inflation Risk Analysis of European Real Estate Securities. Journal of Real Estate Research, 24(1), 47–78.Google Scholar
  93. Mazurczak, A. (2011). Development of Real Estate Investment Trust (REIT) Regimes in Europe. Journal of International Studies, 4(1), 115–123.CrossRefGoogle Scholar
  94. Meen, G. (2002). The Time-Series Behavior of House Prices: A Transatlantic Divide? Journal of Housing Economics, 11(1), 1–23.CrossRefGoogle Scholar
  95. Mei, J., & Gao, B. (1995). Price Reversals, Transaction costs and Arbitrage Profits in the Real Estate Securities Market. Journal of Real Estate Finance and Economics, 11(2), 153–165.CrossRefGoogle Scholar
  96. Mei, J., & Liao, H. H. (1998). Risk Characteristics of Real Estate Related Securities: An Extension of Liu and Mei (1992). Journal of Real Estate Research, 16(3), 279–290.Google Scholar
  97. Miles, M., & Mahoney, J. (1997). Is Commercial Real Estate an Inflation Hedge? Real Estate Finance, 13(4), 31–45.Google Scholar
  98. Miles, M., & McCue, T. (1984). Commercial Real Estate Returns. Real Estate Economics, 12(3), 355–377.CrossRefGoogle Scholar
  99. Montelongo, A., & Chang, H. K. (2008). Flip and Grow Rich: The Heart and Mind of Real Estate Investing. San Antonio, TX: Armondo Montelongo Worldwide.Google Scholar
  100. Moss, A., Clare, A., Thomas, S., & Seaton, J. (2015). Trend Following and Momentum Strategies for Global REITs. Journal of Real Estate Portfolio Management, 21(1), 21–31.Google Scholar
  101. Mueller, G. R. (1993). Refining Economic Diversification Strategies for Real Estate Portfolios. Journal of Real Estate Research, 8(1), 55–68.Google Scholar
  102. Mueller, G. R., & Laposa, S. P. (1995). Property-Type Diversification in Real Estate Portfolios: A Size and Return Perspective. Journal of Real Estate Portfolio Management, 1(1), 39–50.Google Scholar
  103. Mueller, A., & Mueller, G. (2003). Public and Private Real Estate in a Mixed-Asset Portfolio. Journal of Real Estate Portfolio Management, 9(3), 193–203.Google Scholar
  104. Nelling, E., & Gyourko, J. (1998). The Predictability of Equity REIT Returns. Journal of Real Estate Research, 16(3), 251–268.Google Scholar
  105. Newell, G. (1996). The Inflation-Hedging Characteristics of Australian Commercial Property: 1984–1995. Journal of Property Finance, 7(1), 6–20.CrossRefGoogle Scholar
  106. Novy-Marx, R. (2009). Hot and Cold Markets. Real Estate Economics, 37(1), 1–22.CrossRefGoogle Scholar
  107. Ortalo-Magné, F., & Rady, S. (2006). Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints. Review of Economic Studies, 73(2), 459–485.CrossRefGoogle Scholar
  108. Peterson, J. D., & Hsieh, C.-H. (1997). Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs? Real Estate Economics, 25(2), 321–345.CrossRefGoogle Scholar
  109. Piazzesi, M., & Schneider, M. (2009). Momentum Traders in the Housing Market: Survey Evidence and a Search Model. American Economic Review, 99(2), 406–411.CrossRefGoogle Scholar
  110. Pivar, W. (2003). Real Estate Investing From A to Z: The Most Comprehensive, Practical, and Readable Guide to Investing Profitably in Real Estate. New York, NY: McGraw-Hill.Google Scholar
  111. Poterba, J., & Sinai, T. (2008). Tax Expenditures for Owner-Occupied Housing: Deductions for Property Taxes and Mortgage Interest and the Exclusion of Imputed Rental Income. American Economic Review, 98(2), 84–89.CrossRefGoogle Scholar
  112. Rehring, C. (2012). Real Estate in a Mixed-Asset Portfolio: The Role of the Investment Horizon. Real Estate Economics, 40(1), 65–95.CrossRefGoogle Scholar
  113. Ross, S., & Zisler, R. (1991). Risk and Return in Real Estate. Journal of Real Estate Finance and Economics, 4(2), 175–190.CrossRefGoogle Scholar
  114. Seiler, M. J., Webb, J. R., & Myer, F. C. N. (1999). Diversification Issues in Real Estate Investment. Journal of Real Estate Literature, 7(2), 163–179.CrossRefGoogle Scholar
  115. Sing, T.-F., & Low, S.-H. Y. (2000). The Inflation-Hedging Characteristics of Real Estate and Financial Assets in Singapore. Journal of Real Estate Portfolio Management, 6(4), 373–386.Google Scholar
  116. Smith, K. V., & Shulman, D. (1976). Institutions Beware: The Performance of Equity Real Estate Investment Trusts. Financial Analysts Journal, 32(5), 61–66.CrossRefGoogle Scholar
  117. Sørensen, C., & Trolle, A. B. (2005). A General Model of Dynamic Asset Allocation with Incomplete Information and Learning (Working paper). Available online: https://ssrn.com/abstract=675625.
  118. Stein, J. C. (1995). Prices and Trading Volume in the Housing Market: A Model with Down-Payment Effects. Quarterly Journal of Economics, 110(2), 379–406.CrossRefGoogle Scholar
  119. Steinert, M., & Crowe, S. (2001). Global Real Estate Investment: Characteristics, Optimal Portfolio Allocation and Future Trends. Pacific Rim Property Research Journal, 7(4), 223–239.CrossRefGoogle Scholar
  120. Stevenson, S. (2001). Bayes-Stein Estimators and International Real Estate Asset Allocation. Journal of Real Estate Research, 21(1/2), 89–104.Google Scholar
  121. Stevenson, S. (2002). Momentum Effects and Mean Reversion in Real Estate Securities. Journal of Real Estate Research, 23(1/2), 47–64.Google Scholar
  122. Taylor, C. R. (1999). Time-on-the-Market as a Sign of Quality. Review of Economic Studies, 66(3), 555–578.CrossRefGoogle Scholar
  123. Titman, S., & Warga, A. (1986). Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach. AREUEA Journal, 14(3), 414–431.CrossRefGoogle Scholar
  124. Viezer, T. W. (2000). Evaluating “Within Real Estate” Diversification Strategies. Journal of Real Estate Portfolio Management, 6(1), 75–95.Google Scholar
  125. Villani, R., & Davis, C. (2006). FLIP: How to Find, Fix, and Sell Houses for Profit. New York, NY: McGraw-Hill.Google Scholar
  126. Webb, J. R., Curcio, R. J., & Rubens, J. H. (1988). Diversification Gains from Including Real Estate in Mixed-Asset Portfolios. Decision Sciences, 19(2), 434–452.CrossRefGoogle Scholar
  127. Wheaton, W. C. (1990). Vacancy, Search, and Prices in a Housing Market Matching Model. Journal of Political Economy, 98(6), 1270–1292.CrossRefGoogle Scholar
  128. Worzala, E., & Newell, G. (1997). International Real Estate: A Review of Strategic Investment Issues. Journal of Real Estate Portfolio Management, 3(2), 87–96.Google Scholar
  129. Wurtzebach, C. H., Mueller, G. R., & Machi, D. (1991). The Impact of Inflation and Vacancy on Real Estate Returns. Journal of Real Estate Research, 6(2), 153–168.Google Scholar
  130. Yavas, A., & Yang, S. (1995). The Strategic Role of Listing Price in Marketing Real Estate: Theory and Evidence. Real Estate Economics, 23(3), 347–368.CrossRefGoogle Scholar
  131. Young, M., & Graff, R. A. (1996). Systematic Behavior in Real Estate Investment Risk: Performance Persistence in NCREIF Returns. Journal of Real Estate Research, 12(3), 369–381.Google Scholar

Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Zura Kakushadze
    • 1
  • Juan Andrés Serur
    • 2
  1. 1.Quantigic Solutions LLCStamfordUSA
  2. 2.Universidad del CEMABuenos AiresArgentina

Personalised recommendations