An investigation of regime shifts in UK commercial property returns: a time series analysis

Coleman, Simeon; Leone, Vitor

doi:10.1080/00036846.2015.1080805

Applied Economics

2015

DOI: 10.1080/00036846.2015.1080805

|View full text |Cite

An investigation of regime shifts in UK commercial property returns: a time series analysis

Simeon Coleman

Vitor Leone

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2017

Publication Types

Select...

Article1

Relationship

Self Cite1

Independent0

Authors

Journals

Cited by 1 publication

References 55 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

Frontiers of commercial real estate portfolio performance: Are sector-region-efficient diversification strategies a myth or reality?

Leone

Ravishankar

2017

Journal of Property Research

Self Cite

View full text Add to dashboard Cite

This paper departs from the traditional optimisation methods used to evaluate portfolio performance. Rather, the Stochastic Frontier Analysis approach is used to econometrically determine the benchmark real estate portfolio frontier and subsequently assess the gains from diversifying real estate portfolios along regional and sectoral dimensions in the UK. Portfolio specific inefficiency measures are obtained which indicate whether a portfolio is efficiently diversified and therefore places on the benchmark frontier and if not, the degree to which performance can be improved is quantified. Portfolio specific efficiencies average at 85%-91%, indicating scope to further improve performance. Further, diversification be it on a sectoral or regional dimension, contributes to significantly lower variability in portfolio efficiencies. JEL classification: C13, G11

show abstract

Frontiers of commercial real estate portfolio performance: Are sector-region-efficient diversification strategies a myth or reality?

Leone

Ravishankar

2017

Journal of Property Research

Self Cite

View full text Add to dashboard Cite

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

An investigation of regime shifts in UK commercial property returns: a time series analysis

Cited by 1 publication

References 55 publications

Frontiers of commercial real estate portfolio performance: Are sector-region-efficient diversification strategies a myth or reality?

Frontiers of commercial real estate portfolio performance: Are sector-region-efficient diversification strategies a myth or reality?

Contact Info

Product

Resources

About