August 2016 and makes up, on average, 5.1% of any institutional portfolio (Andonov,
Eichholtz, and Kok [2013]). Determining the value of commercial real estate remains …

Currently, there exists relatively little research investigating the long-term association
between stock and direct real estate markets. Using appropriate transaction-based property …

In this study, we apply a Lagrange multiplier (LM) test for the autoregressive conditional
heteroscedasticity (ARCH) effects and an exponential generalized autoregressive …

The global financial crisis led some investors to question the benefits of real estate as a risk
diversifier in mixed asset portfolios as falling real estate capital values coincided with the …

We propose newly developed unsmoothing techniques for appraisal‐based real estate
returns based on a regime‐switching threshold autoregressive (TAR) model. We show that …

The volatility of returns is probably the most widely used risk measure for real estate. This is
rather surprising since a number of studies have cast doubts on the view that volatility can …

This research starts from the observation that common desmoothing models are likely to
generate some extreme returns that will distort risk measurement and hence can lead to …

Private assets, such as private equity, venture capital, and real estate, have long been a
thorn in the side of asset allocators and chief investment officers. Their lack of liquidity …

This article studies the joint impact of smoothing and fat tails on the risk-return properties of
hedge fund strategies. First, the authors adjust risk and performance measures for illiquidity …

Value and momentum strategies are widely recognized by capital market portfolio
managers, although commercial real estate evidence is limited. In this article, Beracha and …