This paper studies U.K. regional house prices across nine regions from January 2005 to December 2017 to identify regional versus national effects on house prices and potential house price bubbles. It uses a version of the Gordon dividend discount model, modelling house prices as the present value of imputed rents as a measure of fundamentals. It differentiates between long-term and short-term effect using pooled mean group (PMG) and mean group estimation (MG) to determine variations in regional house prices during different periods relating to the most recent financial crisis. The results confirm that the crisis had differentiating effects in the short term, but there is reversion back to long-run fundamentals. Regional trend analysis shows that the house price growth in the regions has been affected differently in the short run and each region has varying long-run fundamentals. Residential property values in London have shown strongest short-run momentum.

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This paper examines the role of loan characteristics in mortgage default probability for different mortgage lenders in the UK. The accuracy of default prediction is tested with two statistical methods, a probit model and linear discriminant analysis, using a unique dataset of defaulted commercial loan portfolios provided by sixty-six financial institutions. Both models establish that the attributes of the underlying real estate asset and the lender are significant factors in determining default probability for commercial mortgages. In addition to traditional risk factors such as loan-to-value and debt servicing coverage ratio lenders and regulators should consider loan characteristics to assess more accurately probabilities of default.

This is the accepted version of the paper.This version of the publication may differ from the final published version. Permanent repository link:http://openaccess.city.ac.uk/18447/ Link to published version: http://dx.doi.org/10.1108/ JPIF-11-2015-0078 Copyright and reuse: City Research Online aims to make research outputs of City, University of London available to a wider audience. Copyright and Moral Rights remain with the author(s) and/or copyright holders. URLs from City Research Online may be freely distributed and linked to. IntroductionThe correlation of global equity markets has been a long-term research topic for investors seeking the optimum combination of risk diversification and maximum return. The quantitative analysis of international diversification dates back at least to Henry Lowenfeld's (1909) study of equalweighted, industry-neutral, risk-adjusted, international diversification strategies, using price data from the global securities trading on the London Exchange around the turn of the century. He illustrates the imperfect co-movement of securities from various countries. In general, global equity markets and regional markets are often correlated with one another, especially in times of economic recession with prominent contagion and spillover effects. Listed real estate companies are considered attractive because of their liquidity, and exposure to underlying real estate returns. Since the evolution of the modern-REIT era in 1992 in the US, there has been a significant increase in market capitalisation, both in absolute terms and relative to the general equity market, as well as improvements in liquidity. But, with respect to previous findings about the correlation and comovement in equity markets during times of stress, how have listed real estate markets been affected by the global financial crisis ( Even in relatively stable periods, co-moving trending behaviour can be found across equity markets for stock returns, volatility, and trading volumes. Singh, Kumar and Pandey (2010) examine the stock returns volatility spillover effects across fifteen stock markets of North America, Europe and Asia employing a vector auto regression model, which is used to capture the linear interdependencies among multiple time series data. This paper uses liquidity measures which do not require microstructure data that might not be available on a comparative level for international markets. While most other studies have focused on risk and return, this research explores co-movements in market liquidity in different securities markets. The first section starts by analysing the dependence of liquidity on key variables namely geography and company size and explores the differences in market liquidity during three time intervals between 20002 -2014. The next section of the research links liquidity drivers and performance.By classifying the data of 60 global companies into different groups to distinguish samples by country of origin and size, the paper analyses the impact of the so-called small cap effect on l...

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