Details about Simon Stevenson
Access statistics for papers by Simon Stevenson.
Last updated 2023-03-16. Update your information in the RePEc Author Service.
Short-id: pst884
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Working Papers
2015
- How do Optimal Reserves Compare to Actual Undisclosed Reserve Prices? Empirical Evidence from English Open Outcry Auctions of Residential Property
ERES, European Real Estate Society (ERES)
- Investor Protection, Corporate Governance and Firm Performance: Evidence from Asian Real Estate Investment Trusts
ERES, European Real Estate Society (ERES)
- Rationality and Momentum in Real Estate Investment Forecasts
ERES, European Real Estate Society (ERES)
Also in Real Estate & Planning Working Papers, Henley Business School, University of Reading (2014)
- Real estate market risk modelling
ERES, European Real Estate Society (ERES) View citations (1)
- Toward a Liability Driven Investment Paradigm for DC Pensions: Implication for Real Estate Allocations
ERES, European Real Estate Society (ERES)
- Volatility Transmission: A Global Tri-Variate Analysis of Public Real Estate and Foreign Exchange Markets
ERES, European Real Estate Society (ERES)
2014
- A Comparative Analysis of the Accuracy and Uncertainty in Real Estate and Macroeconomic Forecasts
Real Estate & Planning Working Papers, Henley Business School, University of Reading
- Residential Property Loans and Bank Performance during Property Price Booms: Evidence from Europe
Real Estate & Planning Working Papers, Henley Business School, University of Reading View citations (1)
- The Sensitivity of European Publically Listed Real Estate to Interest Rates
ERES, European Real Estate Society (ERES)
2013
- Performance and Cash Flow Drivers of Private Real Estate Funds
ERES, European Real Estate Society (ERES)
- Securitised Real Estate Regime-Switching Behaviour and the Relationship with Market Interest Rates
ERES, European Real Estate Society (ERES)
- Sponsor, Corporate Governance and Asian REITs Performance
ERES, European Real Estate Society (ERES)
- The Case for Risk Parity as an Alternative Strategy for Asset Allocation in Real Estate Portfolios
ERES, European Real Estate Society (ERES)
2012
- Herding in real estate security analysis
ERES, European Real Estate Society (ERES)
2011
- INREV Panel on the Education Requirements of the Indirect Investment Market
ERES, European Real Estate Society (ERES)
- Modeling Long Memory in REITs
Papers, arXiv.org
Also in MPRA Paper, University Library of Munich, Germany (2007)
See also Journal Article Modeling Long Memory in REITs, Real Estate Economics, American Real Estate and Urban Economics Association (2008) View citations (32) (2008)
- Multivariate Modeling of Daily REIT Volatility
Papers, arXiv.org View citations (1)
Also in MPRA Paper, University Library of Munich, Germany (2005) Working Papers, Geary Institute, University College Dublin (2011) View citations (1)
See also Journal Article Multivariate Modeling of Daily REIT Volatility, The Journal of Real Estate Finance and Economics, Springer (2006) View citations (85) (2006)
- Separating Skill from Luck in REIT Mutual Funds
Real Estate & Planning Working Papers, Henley Business School, University of Reading View citations (1)
- Uncovering Volatility Dynamics in Daily REIT Returns
Papers, arXiv.org View citations (9)
Also in MPRA Paper, University Library of Munich, Germany (2005) View citations (2)
2009
- Dynamics of Residential Market in Ghana: A Comparison
ERES, European Real Estate Society (ERES)
2007
- Asymmetric Betaís in Bull and Bear Markets: Evidence from US Equity REITs
ERES, European Real Estate Society (ERES)
- Conditional Correlations and Real Estate Investment Trusts
ERES, European Real Estate Society (ERES)
- Mean-Variance Spanning Tests of Real Estateís Portfolio Contribution
ERES, European Real Estate Society (ERES)
- Monetary Policy and Real Estate Investment Trusts
ERES, European Real Estate Society (ERES) View citations (1)
- Panel Modelling of Regional Commercial Property Markets: Empirical Evidence from Finland
ERES, European Real Estate Society (ERES)
- Tests of Dynamic Asymmetric Correlations across REIT Sub-Sectors
ERES, European Real Estate Society (ERES)
2006
- AN ASSET PRICING MODEL OF THE LONDON RESIDENTIAL MARKET
ERES, European Real Estate Society (ERES)
- PERMANENT AND TRANSITORY DRIVERS OF SECURITISED REAL ESTATE
ERES, European Real Estate Society (ERES)
2005
- An Analysis of Residential Auction Sale Prices and Quoted Guide Prices
ERES, European Real Estate Society (ERES)
- Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities
ERES, European Real Estate Society (ERES) View citations (1)
See also Journal Article Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities, The European Journal of Finance, Taylor & Francis Journals (2007) View citations (15) (2007)
- Modelling Housing Market Fundamentals: Empirical Evidence of Extreme Market Conditions
ERES, European Real Estate Society (ERES)
See also Journal Article Modeling Housing Market Fundamentals: Empirical Evidence of Extreme Market Conditions, Real Estate Economics, American Real Estate and Urban Economics Association (2008) View citations (33) (2008)
- NY-LON: Does a Single Cross-Continental Office Market Exist?
ERES, European Real Estate Society (ERES)
- The Distributional Characteristics of REIT Returns
ERES, European Real Estate Society (ERES)
2004
- New Empirical Evidence on the Speculative Behaviour Present in Residential Property Markets
ERES, European Real Estate Society (ERES)
- Real Estate in the Mixed-asset Portfolio: The Question of Consistency
Real Estate & Planning Working Papers, Henley Business School, University of Reading
Also in ERES, European Real Estate Society (ERES) (2004)
- The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run
Real Estate & Planning Working Papers, Henley Business School, University of Reading View citations (1)
2003
- Economic, Demographic and Fiscal Influences on Housing Market Dynamics
ERES, European Real Estate Society (ERES) View citations (6)
2002
- Hedonic Estimation of Apartment Submarkets
ERES, European Real Estate Society (ERES)
- Volatility in the Ripple Effect of Regional House Market Dynamics
ERES, European Real Estate Society (ERES)
2001
- Time Weighted Portfolio Optimisation
ERES, European Real Estate Society (ERES)
2000
- A Comparison of Alternative Rental Forecasting Models: Empirical Tests on the London Office Market
ERES, European Real Estate Society (ERES)
See also Journal Article A comparison of alternative rental forecasting models: empirical tests on the London office market, Journal of Property Research, Taylor & Francis Journals (2003) View citations (5) (2003)
- REAL ESTATE PORTFOLIO CONSTRUCTION AND ESTIMATION RISK
ERES, European Real Estate Society (ERES) View citations (1)
1999
- A Long Term Analysis of Regional Housing markets and Inflation
ERES, European Real Estate Society (ERES)
See also Journal Article A Long-Term Analysis of Regional Housing Markets and Inflation, Journal of Housing Economics, Elsevier (2000) View citations (14) (2000)
- Government Intervention and Its Impact on the Housing Market in Greater Dublin
ERES, European Real Estate Society (ERES)
- Hedging International Real Estate Investments: Decomposing Returns into Capital and Income Components
ERES, European Real Estate Society (ERES)
1998
- Commercial Real Estate and International Diversification
ERES, European Real Estate Society (ERES)
Undated
- Capital Market Expectations and the London Office Market
Real Estate & Planning Working Papers, Henley Business School, University of Reading View citations (1)
- Dynamic Correlations across REIT Sub-Sectors
Real Estate & Planning Working Papers, Henley Business School, University of Reading
Journal Articles
2018
- Low‐frequency volatility of real estate securities and macroeconomic risk
Accounting and Finance, 2018, 58, (S1), 311-342 View citations (4)
2016
- Macro-Economic and Financial Determinants of Comovement across Global Real Estate Security Markets
Journal of Real Estate Research, 2016, 38, (4), 595_624 View citations (2)
- Performance drivers of private real estate funds
Journal of Property Research, 2016, 33, (3), 214-235 View citations (4)
2015
- Assessing the accuracy and dispersion of real estate investment forecasts
International Review of Financial Analysis, 2015, 42, (C), 141-152 View citations (1)
- Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study
The Journal of Real Estate Finance and Economics, 2015, 51, (4), 503-540 View citations (6)
- Synchronisation and commonalities in metropolitan housing market cycles
Urban Studies, 2015, 52, (9), 1665-1682 View citations (9)
- The Role of Undisclosed Reserves in English Open Outcry Auctions
Real Estate Economics, 2015, 43, (2), 375-402 View citations (3)
- The probability of sale and price premiums in withdrawn auctioned properties
Urban Studies, 2015, 52, (2), 279-297 View citations (1)
2014
- A Multiple Error-Correction Model of Housing Supply
Housing Studies, 2014, 29, (3), 362-379 View citations (7)
- Concordance in Global Office Market Cycles
Regional Studies, 2014, 48, (3), 456-470 View citations (11)
- Futures Trading, Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures
The Journal of Real Estate Finance and Economics, 2014, 48, (2), 299-322 View citations (11)
2013
- The performance effects of composition changes on sector specific stock indices: The case of European listed real estate
International Review of Financial Analysis, 2013, 29, (C), 132-142 View citations (1)
2012
- Dynamic correlations between REIT sub-sectors and the implications for diversification
Applied Financial Economics, 2012, 22, (13), 1089-1109 View citations (4)
2011
- Monetary policy transmission and real estate investment trusts
International Journal of Finance & Economics, 2011, 16, (1), 92-102 View citations (18)
2010
- A comparison of the appraisal process for auction and private treaty residential sales
Journal of Housing Economics, 2010, 19, (2), 145-154 View citations (9)
- Openness, hedging incentives and foreign exchange exposure: A firm-level multi-country study
Journal of International Business Studies, 2010, 41, (1), 105-122 View citations (46)
- Residential market development in sub‐Saharan Africa
International Journal of Housing Markets and Analysis, 2010, 3, (4), 308-326 View citations (1)
- The Ghanaian transaction‐based residential indices
International Journal of Housing Markets and Analysis, 2010, 3, (3), 216-232 View citations (1)
2009
- Equity and fixed income markets as drivers of securitised real estate
Review of Financial Economics, 2009, 18, (2), 103-111 View citations (6)
2008
- Modeling Housing Market Fundamentals: Empirical Evidence of Extreme Market Conditions
Real Estate Economics, 2008, 36, (1), 1-29 View citations (33)
See also Working Paper Modelling Housing Market Fundamentals: Empirical Evidence of Extreme Market Conditions, ERES (2005) (2005)
- Modeling Long Memory in REITs
Real Estate Economics, 2008, 36, (3), 533-554 View citations (32)
See also Working Paper Modeling Long Memory in REITs, Papers (2011) (2011)
2007
- A comparison of the forecasting ability of ARIMA models
Journal of Property Investment & Finance, 2007, 25, (3), 223-240 View citations (3)
- Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities
The European Journal of Finance, 2007, 13, (8), 705-715 View citations (15)
See also Working Paper Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities, ERES (2005) View citations (1) (2005)
- Forecasting Housing Supply: Empirical Evidence from the Irish Market
European Journal of Housing Policy, 2007, 7, (1), 1-17 View citations (2)
- Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Components Approach
The Journal of Real Estate Finance and Economics, 2007, 34, (3), 407-424 View citations (10)
- Measuring Spillover Effects Across Asian Property Stocks
Journal of Property Research, 2007, 24, (2), 123-138 View citations (10)
- Monetary Shocks and REIT Returns
The Journal of Real Estate Finance and Economics, 2007, 35, (3), 315-331 View citations (43)
- The substitutability of REITs and value stocks
Applied Financial Economics, 2007, 17, (7), 541-557 View citations (1)
2006
- Multivariate Modeling of Daily REIT Volatility
The Journal of Real Estate Finance and Economics, 2006, 32, (3), 305-325 View citations (85)
See also Working Paper Multivariate Modeling of Daily REIT Volatility, Papers (2011) View citations (1) (2011)
- Special issue based on the European Real Estate Society (ERES) Conference, Dublin, Ireland, June 2005
Journal of Housing Economics, 2006, 15, (3), 167-168
2005
- House price diffusion and inter‐regional and cross‐border house price dynamics
Journal of Property Research, 2005, 21, (4), 301-320
2004
- A performance evaluation of portfolio managers: tests of micro and macro forecasting
The European Journal of Finance, 2004, 10, (5), 391-411
- New empirical evidence on heteroscedasticity in hedonic housing models
Journal of Housing Economics, 2004, 13, (2), 136-153 View citations (25)
2003
- A comparison of alternative rental forecasting models: empirical tests on the London office market
Journal of Property Research, 2003, 20, (3), 235-260 View citations (5)
See also Working Paper A Comparison of Alternative Rental Forecasting Models: Empirical Tests on the London Office Market, ERES (2000) (2000)
- Empirical evidence on the micro and macro forecasting ability of real estate funds
Journal of Property Research, 2003, 20, (3), 207-234
- Estimation of Apartment Submarkets
Journal of Real Estate Research, 2003, 25, (2), 159-170 View citations (6)
2002
- Momentum Effects and Mean Reversion in Real Estate Securities
Journal of Real Estate Research, 2002, 23, (1/2), 47-64 View citations (25)
- The Sensitivity of European Bank Stocks to German Interest Rates Changes
Multinational Finance Journal, 2002, 6, (3-4), 223-249 View citations (6)
2001
- A Re-Examination of the Inflation-Hedging Ability of Real Estate Securities: Empirical Tests Using International Orthogonalized & Hedged Data
International Real Estate Review, 2001, 4, (1), 26-42 View citations (2)
- Bayes-Stein Estimators and International Real Estate Asset Allocation
Journal of Real Estate Research, 2001, 21, (1/2), 89-104 View citations (5)
- Emerging markets, downside risk and the asset allocation decision
Emerging Markets Review, 2001, 2, (1), 50-66 View citations (14)
- Tax Policies and Residential Mobility
International Real Estate Review, 2001, 4, (1), 95-117 View citations (6)
2000
- A Long-Term Analysis of Regional Housing Markets and Inflation
Journal of Housing Economics, 2000, 9, (1-2), 24-39 View citations (14)
See also Working Paper A Long Term Analysis of Regional Housing markets and Inflation, ERES (1999) (1999)
- Contagion effects and intra industry information flows: the example of Olympia & York
Journal of Property Research, 2000, 17, (2), 133-145
- International Real Estate Diversification: Empirical Tests using Hedged Indices
Journal of Real Estate Research, 2000, 19, (1), 105-131 View citations (28)
1999
- Real estate's role in an international multi-asset portfolio: empirical evidence using Irish data
Journal of Property Research, 1999, 16, (3), 219-242 View citations (3)
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