Journal of Real Estate Portfolio Management back issues from January 2000:
Portfolio variance and correlation matrices
Jan 01, 2000; ... Executive Summary. The fact that portfolio variances must be positive implies that the correlation matrix for asset returns should be positive definite. As such, a test for positive definiteness in the correlation matrix should be routinely implemented prior to any portfolio optimization ...
Optimal diversification: Is it really worthwhile?
Jan 01, 2000; ... Executive Summary. Recent research has demonstrated that the Markowitz efficient frontier is fuzzy and may consist of many statistically indistinguishable frontiers. Therefore, it opens the possibility that an efficient portfolio developed by mean-variance analysis may not be any more efficient ...
Cash flows vs. earnings in the valuation of equity REITs
Jan 01, 2000; ... Executive Summary. This article examines the incremental information content of net income and cash flows for equity real estate investment trusts (REITs). REM provide a natural setting for investigating which measure, earnings or cash flows, provides a better summary statistic of corporate ...
Real estate exposure and asset intensity
Jan 01, 2000; ... Executive Summary. Real estate accounts for a signif icant proportion of the corporate assets of publicly listed companies. The real estate exposure of publicly traded companies in land scare economies such as Hong Kong and Singapore is particularly high. This study explores the real estate ...
Neighborhood racial composition and mortgage redlining: A nationwide analysis
Jan 01, 2000; ... Executive Summary. Concerns about fairness in the mortgage markets have motivated a large and growing literature and continues to be a regulatory issue impacting a wide range of financial institutions. However, disparate conclusions from recent studies on redlining and discrimination leave the ...
Public versus private real estate in Hong Kong
Jan 01, 2000; ... Executive Summary. The main objective of this study is to examine the impact of real estate prices on real estate stock prices in Hong Kong. Real estate-related firms account for over 30% of Hong Kong's stock market capitalization. The real estate markets are therefore, potentially, major ...
Time-varying expected returns and information in home prices
Jan 01, 2000; ... Executive Summary. In this article, we estimate a conditional two-beta asset pricing model in which the expected excess returns are not only related to the conditional beta with respect to the market portfolio of financial assets but also related to the conditional beta with respect to changes ...
Evaluating "within real estate" diversification strategies
Jan 01, 2000; ... Executive Summary. This article refines previous comparisons of "within real estate" portfolio diversification by adding controls to the experimental design to determine why one strategy is superior to another. Two "new" economic diversification methods were among the thirteen strategies tested ....
Point of view: Academic and applied real estate research: "As two worlds collide" or "as two worlds divide"?
Jan 01, 2000; ... Introduction It has been said that the majority of academic real estate research is out of touch with the reality of the marketplace, and in most cases conflicts with what those in industry truly find useful. It has also been said that professional real estate research is too basic and ...