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Details about Simon Stevenson

Homepage:https://www.simonstevenson.org/
Workplace:Runstad Department of Real Estate, University of Washington, (more information at EDIRC)

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

  1. 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) Downloads
  2. Investor Protection, Corporate Governance and Firm Performance: Evidence from Asian Real Estate Investment Trusts
    ERES, European Real Estate Society (ERES) Downloads
  3. Rationality and Momentum in Real Estate Investment Forecasts
    ERES, European Real Estate Society (ERES) Downloads
    Also in Real Estate & Planning Working Papers, Henley Business School, University of Reading (2014) Downloads
  4. Real estate market risk modelling
    ERES, European Real Estate Society (ERES) Downloads View citations (1)
  5. Toward a Liability Driven Investment Paradigm for DC Pensions: Implication for Real Estate Allocations
    ERES, European Real Estate Society (ERES) Downloads
  6. Volatility Transmission: A Global Tri-Variate Analysis of Public Real Estate and Foreign Exchange Markets
    ERES, European Real Estate Society (ERES) Downloads

2014

  1. 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 Downloads
  2. Residential Property Loans and Bank Performance during Property Price Booms: Evidence from Europe
    Real Estate & Planning Working Papers, Henley Business School, University of Reading Downloads View citations (1)
  3. The Sensitivity of European Publically Listed Real Estate to Interest Rates
    ERES, European Real Estate Society (ERES) Downloads

2013

  1. Performance and Cash Flow Drivers of Private Real Estate Funds
    ERES, European Real Estate Society (ERES) Downloads
  2. Securitised Real Estate Regime-Switching Behaviour and the Relationship with Market Interest Rates
    ERES, European Real Estate Society (ERES) Downloads
  3. Sponsor, Corporate Governance and Asian REITs Performance
    ERES, European Real Estate Society (ERES) Downloads
  4. The Case for Risk Parity as an Alternative Strategy for Asset Allocation in Real Estate Portfolios
    ERES, European Real Estate Society (ERES) Downloads

2012

  1. Herding in real estate security analysis
    ERES, European Real Estate Society (ERES) Downloads

2011

  1. INREV Panel on the Education Requirements of the Indirect Investment Market
    ERES, European Real Estate Society (ERES) Downloads
  2. Modeling Long Memory in REITs
    Papers, arXiv.org Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2007) Downloads

    See also Journal Article Modeling Long Memory in REITs, Real Estate Economics, American Real Estate and Urban Economics Association (2008) Downloads View citations (32) (2008)
  3. Multivariate Modeling of Daily REIT Volatility
    Papers, arXiv.org Downloads View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2005) Downloads
    Working Papers, Geary Institute, University College Dublin (2011) Downloads View citations (1)

    See also Journal Article Multivariate Modeling of Daily REIT Volatility, The Journal of Real Estate Finance and Economics, Springer (2006) Downloads View citations (85) (2006)
  4. Separating Skill from Luck in REIT Mutual Funds
    Real Estate & Planning Working Papers, Henley Business School, University of Reading Downloads View citations (1)
  5. Uncovering Volatility Dynamics in Daily REIT Returns
    Papers, arXiv.org Downloads View citations (9)
    Also in MPRA Paper, University Library of Munich, Germany (2005) Downloads View citations (2)

2009

  1. Dynamics of Residential Market in Ghana: A Comparison
    ERES, European Real Estate Society (ERES) Downloads

2007

  1. Asymmetric Betaís in Bull and Bear Markets: Evidence from US Equity REITs
    ERES, European Real Estate Society (ERES) Downloads
  2. Conditional Correlations and Real Estate Investment Trusts
    ERES, European Real Estate Society (ERES) Downloads
  3. Mean-Variance Spanning Tests of Real Estateís Portfolio Contribution
    ERES, European Real Estate Society (ERES) Downloads
  4. Monetary Policy and Real Estate Investment Trusts
    ERES, European Real Estate Society (ERES) Downloads View citations (1)
  5. Panel Modelling of Regional Commercial Property Markets: Empirical Evidence from Finland
    ERES, European Real Estate Society (ERES) Downloads
  6. Tests of Dynamic Asymmetric Correlations across REIT Sub-Sectors
    ERES, European Real Estate Society (ERES) Downloads

2006

  1. AN ASSET PRICING MODEL OF THE LONDON RESIDENTIAL MARKET
    ERES, European Real Estate Society (ERES) Downloads
  2. PERMANENT AND TRANSITORY DRIVERS OF SECURITISED REAL ESTATE
    ERES, European Real Estate Society (ERES) Downloads

2005

  1. An Analysis of Residential Auction Sale Prices and Quoted Guide Prices
    ERES, European Real Estate Society (ERES) Downloads
  2. Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities
    ERES, European Real Estate Society (ERES) Downloads 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) Downloads View citations (15) (2007)
  3. Modelling Housing Market Fundamentals: Empirical Evidence of Extreme Market Conditions
    ERES, European Real Estate Society (ERES) Downloads
    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) Downloads View citations (33) (2008)
  4. NY-LON: Does a Single Cross-Continental Office Market Exist?
    ERES, European Real Estate Society (ERES) Downloads
  5. The Distributional Characteristics of REIT Returns
    ERES, European Real Estate Society (ERES) Downloads

2004

  1. New Empirical Evidence on the Speculative Behaviour Present in Residential Property Markets
    ERES, European Real Estate Society (ERES) Downloads
  2. Real Estate in the Mixed-asset Portfolio: The Question of Consistency
    Real Estate & Planning Working Papers, Henley Business School, University of Reading Downloads
    Also in ERES, European Real Estate Society (ERES) (2004) Downloads
  3. 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 Downloads View citations (1)

2003

  1. Economic, Demographic and Fiscal Influences on Housing Market Dynamics
    ERES, European Real Estate Society (ERES) Downloads View citations (6)

2002

  1. Hedonic Estimation of Apartment Submarkets
    ERES, European Real Estate Society (ERES) Downloads
  2. Volatility in the Ripple Effect of Regional House Market Dynamics
    ERES, European Real Estate Society (ERES) Downloads

2001

  1. Time Weighted Portfolio Optimisation
    ERES, European Real Estate Society (ERES) Downloads

2000

  1. A Comparison of Alternative Rental Forecasting Models: Empirical Tests on the London Office Market
    ERES, European Real Estate Society (ERES) Downloads
    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) Downloads View citations (5) (2003)
  2. REAL ESTATE PORTFOLIO CONSTRUCTION AND ESTIMATION RISK
    ERES, European Real Estate Society (ERES) Downloads View citations (1)

1999

  1. A Long Term Analysis of Regional Housing markets and Inflation
    ERES, European Real Estate Society (ERES) Downloads
    See also Journal Article A Long-Term Analysis of Regional Housing Markets and Inflation, Journal of Housing Economics, Elsevier (2000) Downloads View citations (14) (2000)
  2. Government Intervention and Its Impact on the Housing Market in Greater Dublin
    ERES, European Real Estate Society (ERES) Downloads
  3. Hedging International Real Estate Investments: Decomposing Returns into Capital and Income Components
    ERES, European Real Estate Society (ERES) Downloads

1998

  1. Commercial Real Estate and International Diversification
    ERES, European Real Estate Society (ERES) Downloads

Undated

  1. Capital Market Expectations and the London Office Market
    Real Estate & Planning Working Papers, Henley Business School, University of Reading Downloads View citations (1)
  2. Dynamic Correlations across REIT Sub-Sectors
    Real Estate & Planning Working Papers, Henley Business School, University of Reading Downloads

Journal Articles

2018

  1. Low‐frequency volatility of real estate securities and macroeconomic risk
    Accounting and Finance, 2018, 58, (S1), 311-342 Downloads View citations (4)

2016

  1. Macro-Economic and Financial Determinants of Comovement across Global Real Estate Security Markets
    Journal of Real Estate Research, 2016, 38, (4), 595_624 Downloads View citations (2)
  2. Performance drivers of private real estate funds
    Journal of Property Research, 2016, 33, (3), 214-235 Downloads View citations (4)

2015

  1. Assessing the accuracy and dispersion of real estate investment forecasts
    International Review of Financial Analysis, 2015, 42, (C), 141-152 Downloads View citations (1)
  2. 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 Downloads View citations (6)
  3. Synchronisation and commonalities in metropolitan housing market cycles
    Urban Studies, 2015, 52, (9), 1665-1682 Downloads View citations (9)
  4. The Role of Undisclosed Reserves in English Open Outcry Auctions
    Real Estate Economics, 2015, 43, (2), 375-402 Downloads View citations (3)
  5. The probability of sale and price premiums in withdrawn auctioned properties
    Urban Studies, 2015, 52, (2), 279-297 Downloads View citations (1)

2014

  1. A Multiple Error-Correction Model of Housing Supply
    Housing Studies, 2014, 29, (3), 362-379 Downloads View citations (7)
  2. Concordance in Global Office Market Cycles
    Regional Studies, 2014, 48, (3), 456-470 Downloads View citations (11)
  3. 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 Downloads View citations (11)

2013

  1. 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 Downloads View citations (1)

2012

  1. Dynamic correlations between REIT sub-sectors and the implications for diversification
    Applied Financial Economics, 2012, 22, (13), 1089-1109 Downloads View citations (4)

2011

  1. Monetary policy transmission and real estate investment trusts
    International Journal of Finance & Economics, 2011, 16, (1), 92-102 View citations (18)

2010

  1. A comparison of the appraisal process for auction and private treaty residential sales
    Journal of Housing Economics, 2010, 19, (2), 145-154 Downloads View citations (9)
  2. Openness, hedging incentives and foreign exchange exposure: A firm-level multi-country study
    Journal of International Business Studies, 2010, 41, (1), 105-122 Downloads View citations (46)
  3. Residential market development in sub‐Saharan Africa
    International Journal of Housing Markets and Analysis, 2010, 3, (4), 308-326 Downloads View citations (1)
  4. The Ghanaian transaction‐based residential indices
    International Journal of Housing Markets and Analysis, 2010, 3, (3), 216-232 Downloads View citations (1)

2009

  1. Equity and fixed income markets as drivers of securitised real estate
    Review of Financial Economics, 2009, 18, (2), 103-111 Downloads View citations (6)

2008

  1. Modeling Housing Market Fundamentals: Empirical Evidence of Extreme Market Conditions
    Real Estate Economics, 2008, 36, (1), 1-29 Downloads View citations (33)
    See also Working Paper Modelling Housing Market Fundamentals: Empirical Evidence of Extreme Market Conditions, ERES (2005) Downloads (2005)
  2. Modeling Long Memory in REITs
    Real Estate Economics, 2008, 36, (3), 533-554 Downloads View citations (32)
    See also Working Paper Modeling Long Memory in REITs, Papers (2011) Downloads (2011)

2007

  1. A comparison of the forecasting ability of ARIMA models
    Journal of Property Investment & Finance, 2007, 25, (3), 223-240 Downloads View citations (3)
  2. Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities
    The European Journal of Finance, 2007, 13, (8), 705-715 Downloads View citations (15)
    See also Working Paper Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities, ERES (2005) Downloads View citations (1) (2005)
  3. Forecasting Housing Supply: Empirical Evidence from the Irish Market
    European Journal of Housing Policy, 2007, 7, (1), 1-17 Downloads View citations (2)
  4. 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 Downloads View citations (10)
  5. Measuring Spillover Effects Across Asian Property Stocks
    Journal of Property Research, 2007, 24, (2), 123-138 Downloads View citations (10)
  6. Monetary Shocks and REIT Returns
    The Journal of Real Estate Finance and Economics, 2007, 35, (3), 315-331 Downloads View citations (43)
  7. The substitutability of REITs and value stocks
    Applied Financial Economics, 2007, 17, (7), 541-557 Downloads View citations (1)

2006

  1. Multivariate Modeling of Daily REIT Volatility
    The Journal of Real Estate Finance and Economics, 2006, 32, (3), 305-325 Downloads View citations (85)
    See also Working Paper Multivariate Modeling of Daily REIT Volatility, Papers (2011) Downloads View citations (1) (2011)
  2. Special issue based on the European Real Estate Society (ERES) Conference, Dublin, Ireland, June 2005
    Journal of Housing Economics, 2006, 15, (3), 167-168 Downloads

2005

  1. House price diffusion and inter‐regional and cross‐border house price dynamics
    Journal of Property Research, 2005, 21, (4), 301-320 Downloads

2004

  1. A performance evaluation of portfolio managers: tests of micro and macro forecasting
    The European Journal of Finance, 2004, 10, (5), 391-411 Downloads
  2. New empirical evidence on heteroscedasticity in hedonic housing models
    Journal of Housing Economics, 2004, 13, (2), 136-153 Downloads View citations (25)

2003

  1. A comparison of alternative rental forecasting models: empirical tests on the London office market
    Journal of Property Research, 2003, 20, (3), 235-260 Downloads View citations (5)
    See also Working Paper A Comparison of Alternative Rental Forecasting Models: Empirical Tests on the London Office Market, ERES (2000) Downloads (2000)
  2. Empirical evidence on the micro and macro forecasting ability of real estate funds
    Journal of Property Research, 2003, 20, (3), 207-234 Downloads
  3. Estimation of Apartment Submarkets
    Journal of Real Estate Research, 2003, 25, (2), 159-170 Downloads View citations (6)

2002

  1. Momentum Effects and Mean Reversion in Real Estate Securities
    Journal of Real Estate Research, 2002, 23, (1/2), 47-64 Downloads View citations (25)
  2. The Sensitivity of European Bank Stocks to German Interest Rates Changes
    Multinational Finance Journal, 2002, 6, (3-4), 223-249 Downloads View citations (6)

2001

  1. 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 Downloads View citations (2)
  2. Bayes-Stein Estimators and International Real Estate Asset Allocation
    Journal of Real Estate Research, 2001, 21, (1/2), 89-104 Downloads View citations (5)
  3. Emerging markets, downside risk and the asset allocation decision
    Emerging Markets Review, 2001, 2, (1), 50-66 Downloads View citations (14)
  4. Tax Policies and Residential Mobility
    International Real Estate Review, 2001, 4, (1), 95-117 Downloads View citations (6)

2000

  1. A Long-Term Analysis of Regional Housing Markets and Inflation
    Journal of Housing Economics, 2000, 9, (1-2), 24-39 Downloads View citations (14)
    See also Working Paper A Long Term Analysis of Regional Housing markets and Inflation, ERES (1999) Downloads (1999)
  2. Contagion effects and intra industry information flows: the example of Olympia & York
    Journal of Property Research, 2000, 17, (2), 133-145 Downloads
  3. International Real Estate Diversification: Empirical Tests using Hedged Indices
    Journal of Real Estate Research, 2000, 19, (1), 105-131 Downloads View citations (28)

1999

  1. Real estate's role in an international multi-asset portfolio: empirical evidence using Irish data
    Journal of Property Research, 1999, 16, (3), 219-242 Downloads View citations (3)
 
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