Ametefe, Frank Kwakutse; Devaney, Steven; Stevenson, Simon Andrew. (2019). Optimal Composition of Hybrid/Blended Real Estate Portfolios. Journal Of Property Investment & Finance, 37(1), 20 – 41.
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Abstract
Purpose The purpose of this paper is to establish an optimum mix of liquid, publicly traded assets that may be added to a real estate portfolio, such as those held by open-ended funds, to provide the liquidity required by institutional investors, such as UK defined contribution pension funds. This is with the objective of securing liquidity while not unduly compromising the risk-return characteristics of the underlying asset class. This paper considers the best mix of liquid assets at different thresholds for a liquid asset allocation, with the performance then evaluated against that of a direct real estate benchmark index. Design/methodology/approach The authors employ a mean-tracking error optimisation approach in determining the optimal combination of liquid assets that can be added to a real estate fund portfolio. The returns of the optimised portfolios are compared to the returns for portfolios that employ the use of either cash or listed real estate alone as a liquidity buffer. Multivariate generalised autoregressive models are used along with rolling correlations and tracking errors to gauge the effectiveness of the various portfolios in tracking the performance of the benchmark index. Findings The results indicate that applying formal optimisation techniques leads to a considerable improvement in the ability of the returns from blended real estate portfolios to track the underlying real estate market. This is the case at a number of different thresholds for the liquid asset allocation and in cases where a minimum return requirement is imposed.
Keywords
Hedge-fund-replication; Volatility Dynamics; Tracking Error; Stock; Performance; Property; Returns; Markets; Private; Model; Open-ended Funds; Real Estate Liquidity; Portfolio Optimization; Blended Real Estate; Defined Contribution Pensions
Martins, Antonio Miguel; Serra, Ana Paula; Martins, Francisco Vitorino; Stevenson, Simon. (2020). House Price Dynamics and Bank Herding: European Empirical Evidence. Journal Of Real Estate Research, 42(3), 365 – 396.
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Abstract
This paper examines house price dynamics, bank herding behavior, and the linkages between them. The analysis presented indicates that prior to the financial crisis, non-fundamental factors played a significant role in several European countries, including the United Kingdom, Spain, Denmark, Sweden, and Ireland. We also provide evidence indicative of herding behavior in the residential mortgage loan market. Finally, Granger causality tests show that non-fundamentally justified price dynamics contributed to the herding displayed by lenders and that this behavior was a response by banks as a group to common information on residential property assets.
Keywords
Bubbles; Market; Behavior; Fundamentals; Constraints; Policy; Model; House Prices; Mortgages; Price Bubble; Herding Behavior
Alfalah, Abdullah; Eamonn D’arcy; Heinig, Steffen; Stevenson, Simon. (2022). Modelling Housing Market Fundamentals And The Response To Economic And Political Events: Empirical Evidence From Kuwait. International Journal Of Housing Markets And Analysis, 15(4), 736 – 761.
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Abstract
Purpose > The purpose of this paper is to examine the sensitivity of the Kuwait housing market to major local and regional geo-political and economic events. Design/methodology/approach > This paper examines the market dynamics of the housing market in Kuwait. Kuwait provides an interesting market to consider owing to its position as a major oil producer, its sensitivity to geo-political events and its unusual demographic characteristics. Findings > The error-correction model highlights that market is relatively volatile, with evidence of mean-reverting behaviour. Only when the data is smoothed are their more consistent findings with respect to underlying fundamentals. This paper also examines the response of the market to seven regional and local events. Of particular interest is that the one event that results in a consistent significant response is domestic legislation directly concerned with housing. This has a far greater impact than local or regional geo-political events. Originality/value > Very few papers have considered how economic and political shocks directly impact housing markets using an event study approach. Given its geographic location and also its economic dependence on oil, Kuwait is an interesting market to consider.
Keywords
Politics; Regional Development; Population; Legislation; Housing; Sensitivity; Error Correction; Housing Prices; Impact Analysis; Emerging Markets; Economic Models; Gross Domestic Product--gdp; Reits; Economic Growth; Petroleum Production; Geographical Locations; Middle East; United States--us; Kuwait