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Property portfolios are traditionally constructed by diversifying across geographical areas, property types, or a combination of both. In the United Kingdom it is normal practice to use regions rather than towns or local market areas as the geographical divisions. The authors use cluster analysis to construct homogeneous groups from 157 UK local markets, by means of commercial property returns. The results show strong property-type dimensions and only very broad geographical dimensions in the clusters. These clusters are found, in general, to have temporal stability with changes in cluster membership being explained by the changing economic geography of the United Kingdom. The cluster-derived groupings are used to derive efficient investment frontiers and are compared with frontiers based on conventional heuristic groupings. It is shown that strategies based on parsimonious cluster-based groupings, appropriate for smaller investors, generate results that are comparable with those of conventional groupings and capture the main drivers of property performance.

In this paper, we use constrained cross-section regressions to disentangle the effects of various factors on real estate security returns in 21 countries. A better knowledge of the risk factors driving real estate returns is crucial, whether a pure real estate portfolio is constructed, or whether real estate is considered as an altemative asset class within the traditional stock portfolio. Besides a common factor, "pure" country, size, and value/growth factors are considered. The value/growth measure that is used in this paper is a unique indicator developed by Salomon Smith Bamey (SSB). It provides for each stock the relative importance of the value and growth components, rather than using a binary classification. The value/growth factor is fotmd to have a substantial ,and increasing effect on returns over the analyzed period February 1990-April2002. Country factors are important determinants of real estate security returns also. Statistical analysis of the residuals indicates that additional "hidden" factors most likely exist. These statistical factors are shown to explain about one third of specific returns on intemational real estate securities. Nevertheless, as is the case for traditional stock portfolios, stock picking keeps al1 its importante for real estate stocks as well.:~Lombard Odier & Cie (Geneva), Vrije Universiteit (Amsterdam) and FAME,

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The role of real estate in a mixed-asset portfolio is investigated when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk. In particular, it is analysed whether the discrepancy between the optimal allocation to real estate and the actual allocation by institutional investors is less when a Return/MaxDD framework is used. The empirical analysis is conducted from the perspective of a Swiss investor using international data for the period 1979-2002. It is shown that most portfolios optimized in Return/ MaxDD space, rather than in Return/Standard Deviation space, yield a much lower MaxDD, while usually only a slightly higher standard deviation (for the same level of return). Also, the reported weights for real estate are much more in line with the actual weights to real estate by institutional investors.

DedicationThis paper is dedicated to Nanda Nanthakumaran who died before it was published. He was, not only a dedicated teacher and researcher of international renown, but also a dear friend, sadly missed by everyone who knew him. We hope that the alterations we have made subsequent to his death are in keeping with the high standards he always set. A comparison of UK property and equity duration AbstractThis paper considers the duration of property and equity. A general formula for duration of asset classes is derived. It is shown that calculations which assume, usually implicitly, that the flow-through of inflation to cash flow is zero, produce misleadingly high durations for property and equities. These are typically in the range 15 to 25 years. Simulations using the formulae show that property has some bond-like characteristics. The results indicate that, for realistic flow-through rates, equities have a higher duration than property. The flow-through rate is the most important variable in the estimation of equities. Using historical data, equity duration is estimated at 8.65 years and property's at 3.15 years. These are substantially lower than those commonly cited. If these values can be substantiated, and if higher values are used in practice, portfolio immunisation strategies may need to be reconsidered.

2012),"Wealth effect, credit price effect, and the inter-relationships between Hong Kong's property market and stock market", Property Management, Vol. 30 Iss 3 pp. 255-273 http://dx.If you would like to write for this, or any other Emerald publication, then please use our Emerald for Authors service information about how to choose which publication to write for and submission guidelines are available for all. Please visit www.emeraldinsight.com/authors for more information. About Emerald www.emeraldinsight.comEmerald is a global publisher linking research and practice to the benefit of society. The company manages a portfolio of more than 290 journals and over 2,350 books and book series volumes, as well as providing an extensive range of online products and additional customer resources and services.Emerald is both COUNTER 4 and TRANSFER compliant. The organization is a partner of the Committee on Publication Ethics (COPE) and also works with Portico and the LOCKSS initiative for digital archive preservation.

This paper examines the intra-day behaviour of asset prices shortly before and after large price changes. Whereas similar studies so far have been based on daily closing prices, I use three years of high frequency data of 120 stocks listed on the French stock exchange. Various systematic patterns, in addition to those often reported in the literature, emerge from this data. Evidence is found that prices do overreact and that a correction takes place after large price movements, especially those on the downside. The correction does not take place immediately after the large price change. Prior to this, some very significant and sometimes economically important patterns can be observed. When the bid-ask spread is taken into account, I still find some ex post profitable trading strategies that are, however, too small in magnitude to suggest market inefficiency.