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Start Over Author "Stevenson, Simon" Journal journal of real estate research
8 results on '"Stevenson, Simon"'

3. Momentum Effects and Mean Reversion in Real Estate Securities

Author

Stevenson Simon

Subjects
Financial economics, business.industry, Economics, Econometrics and Finance (miscellaneous), Real estate, Investment (macroeconomics), jel:L85, Capitalization rate, Investment management, Urban Studies, Momentum (finance), Economics, Mean reversion, Business, Management and Accounting (miscellaneous), Project portfolio management, business, Finance
Abstract

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 results reveal evidence of performance persistence in international markets over short and medium term horizons, however the evidence on price reversals is less compelling. The empirical analysis tests for mean reversion using Variance Ratio and Augmented Dickey-Fuller tests. In neither case is there consistent evidence of mean reversion in international real estate securities. The portfolio switching tests do reveal some evidence of performance reversals. However, while under-performing markets do outperform over longer horizons, they do not do so at statistically significant levels.

Published
2002
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8. Bayes-Stein Estimators and International Real Estate Asset Allocation.

Author

Stevenson, Simon

Subjects
REAL estate business, REAL estate investment, ASSET allocation, ESTIMATION theory, SECURITIES, FINANCIAL management, PORTFOLIO management (Investments), TRANSACTION costs
Abstract

This article re-examines the issue of international diversification in real estate securities and attempts to address the problem of estimation error in the inputted parameters through the use of alternative techniques. The results see an increased stability in calculated portfolio allocations in comparison to the classical mean-variance tangency approach, and see significant improvements in out-of-sample performance. In addition, the minimum variance portfolio significantly outperforms a naive equally-weighted strategy. These results are also largely consistent when transaction costs are incorporated into the analysis. [ABSTRACT FROM AUTHOR]

Published
2001
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