572
Views
3
CrossRef citations to date
0
Altmetric
Articles

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

&
Pages 95-116 | Received 19 Jan 2017, Accepted 09 Nov 2017, Published online: 08 Dec 2017

References

  • Aigner, D., Knox Lovell, C. A., & Schmidt, P. (1977). Formulation and estimation of stochastic frontier production function models. Journal of Econometrics, 6, 21–37.10.1016/0304-4076(77)90052-5
  • Almond, N. (2017). Great wall of money. Cushman & Wakefield Research.
  • Alvarez, A., Amsler, C., Orea, L., & Schmidt, P. (2006). Interpreting and testing the scaling property in models where inefficiency depends on firm characteristics. Journal of Productivity Analysis, 25(3), 201–212.10.1007/s11123-006-7639-3
  • Andrew, M., Devaney, S. & Lee, S. (2003). Another look at the relative importance of sectors and regions in determining property returns (Working Papers in Real Estate and Planning 14/03). Reading: Department of Real Estate and Planning, University of Reading.
  • Annaert, J., van den Broeck, J., & Vander Vennet, R. (2003). Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach. European Journal of Operational Research, 151, 617–632.10.1016/S0377-2217(02)00603-3
  • Battese, G. E., & Coelli, T. G. (1988). Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data. Journal of Econometrics, 38, 387–399.10.1016/0304-4076(88)90053-X
  • Battese, G. E., & Coelli, T. J. (1995). A model for technical inefficiency effects in a stochastic frontier production function for panel data. Empirical Economics, 20, 325–332.10.1007/BF01205442
  • Brandt, M., Santa-Clara, P., & Valkanov, R. (2009). Parametric portfolio policies: Exploiting characteristics in the cross-section of equity returns. Review of Financial Studies, 22, 3411–3447.10.1093/rfs/hhp003
  • Brown, G. R., & Matysiak, G. A. (2000). Real estate investment: A Capital Market Approach. Edinburgh: Financial Times Prentice Hall. ISBN-10: 0130200638, ISBN-13 9780130200631.
  • Byrne, P., Jackson, C., & Lee, S. (2013). Bias or rationality? The case of UK commercial real estate investment. Journal of European Real Estate Research, 6(1), 6–33.10.1108/17539261311312960
  • Byrne, P., & Lee, S. (2000). Risk reduction in the United Kingdom property market. Journal of Property Research, 17(1), 23–46.10.1080/095999100368001
  • Byrne, P., & Lee, S. (2006). Geographical concentration in the institutional market for office property in England and Wales (Working Papers in Real Estate & Planning 07/06). Reading: Department of Real Estate & Planning, University of Reading.
  • Byrne, P., & Lee, S. (2009). Spatial concentration in institutional investment in the UK: Some comparisons between the retail and office sectors. Journal of Property Investment and Finance, 27, 5–24.10.1108/14635780910926649
  • Byrne, P., & Lee, S. (2010). Spatial concentration in industrial real estate: Institutional investment in England and Wales. Journal of Property Investment and Finance, 28, 6–23.10.1108/14635781011020001
  • Byrne, P., & Lee, S. (2011). Sector, region or function? A MAD reassessment of real estate diversification in Great Britain. Journal of Property Investment and Finance, 29, 167–189.10.1108/14635781111112783
  • Coelli, T. G. (1995). Estimators and hypothesis tests for a stochastic frontier function: A monte carlo analysis. Journal of Productivity Analysis, 6(4), 247–268.
  • Coelli, T., Perelman, S., & Romano, E. (1999). Accounting for environmental influences in stochastic frontier models: With application to international airlines. Journal of Productivity Analysis, 11, 251–273.10.1023/A:1007794121363
  • Coleman, S., & Leone, V. (2015). An investigation of regime shifts in UK commercial property returns: A time series analysis. Applied Economics, 47(60), 6479–6492.10.1080/00036846.2015.1080805
  • Cullen, I. (1993). Cluster analysis and property risk. The Cutting Edge – Proceedings of the RICS Property Research Conference, RICS, London, pp. 21–36.
  • Devaney, S., & Martinez Diaz, R. (2011). Transaction based indices for the UK commercial real estate market: An exploration using IPD transaction data. Journal of Property Research, 28(4), 269–289.10.1080/09599916.2011.601317
  • Eichholtz, P. M. A., Hoesli, M., MacGregor, B. D., & Nanthakumaran, N. (1995). Real estate portfolio diversification by property type and region. Journal of Property Finance, 6(3), 39–59.10.1108/09588689510101676
  • Fisher, J., Gatzlaff, D., Geltner, D., & Haurin, D. (2003). Controlling for the impact of variable liquidity in commercial real estate price indices. Real Estate Economics, 31(2), 269–303.10.1111/reec.2003.31.issue-2
  • Fisher, J. D., & Liang, Y. (2000). Is property-type diversification more important than regional diversification? Real Estate Finance, 17(3), 35–40.
  • Grover, R., & Grover, C. (2013). Property cycles. Journal of Property Investment & Finance, 31(5), 502–516.10.1108/JPIF-05-2013-0030
  • Hadri, K. (1999). Estimation of a doubly heteroscedastic frontier cost function. Journal of Business & Economic Statistics, 17(3), 359–363.
  • Hadri, K., Guermat, C., & Whittaker, J. (2003). Estimation of technical inefficiency effects using panel data and doubly heteroscedastic stochastic production frontiers. Empirical Economics, 28, 203–222.10.1007/s001810100127
  • Hamelink, F., Hoesli, M., Lizieri, C., & MacGregor, B. D. (2000). Homogeneous commercial property market groupings and portfolio construction in the United Kingdom. Environment and Planning A, 32(2), 323–344.10.1068/a31146
  • Henneberry, J., & Roberts, C. (2008). Calculated inequality? Portfolio benchmarking and regional office property investment in the UK. Urban Studies, 45(5–6), 1217–1241.10.1177/0042098008089866
  • Heston, S. L., & Rouwenhorst, K. G. (1994). Does industrial structure explain the benefits of international diversification? Journal of Financial Economics, 36, 3–27.10.1016/0304-405X(94)90028-0
  • Hoesli, M., Lizieri, C., & MacGregor, B. (1997). The spatial dimensions of the investment performance of UK commercial property. Urban Studies, 34(9), 1475–1494.10.1080/0042098975529
  • Hoesli, M., & MacGregor, B. (2000). Property investment: Principles and practice of portfolio management. Harrow: Longman.
  • Hu, J. H., Chang, T., & Yeutien, R. (2013). Market condition and the effect of diversification on mutual fund performance: Should finds be more concentrative under crisis? Journal of Productivity Analysis, February 2014, 41(1), 141–151.
  • Jackson, C. (2002). Classifying local retail property markets on the basis of rental growth rates. Urban Studies, 39, 1417–1438.10.1080/00420980220142709
  • Jackson, C. (2013). Diversification of portfolio risk: Reconciling theory and observed weightings. Journal of Property Research, 30(4), 266–297.10.1080/09599916.2013.813578
  • Jackson, C., & White, M. (2005a). Inflation and rental change in industrial property. Journal of Property Investment and Finance, 23, 342–363.10.1108/14635780510602417
  • Jackson, C., & White, M. (2005b). Challenging traditional real estate market classifications for investment diversification. Journal of Real Estate Portfolio Management, 11, 307–321.
  • Kodde, D. A., & Palm, F. C. (1986). Wald criteria for jointly testing equality and inequality restrictions. Econometrica, 54, 1243–1248.10.2307/1912331
  • Kumbhakar, S. C., & Lovell, C. A. K. (2000). Stochastic frontier analysis. Cambridge: Cambridge University Press, ISBN: 0521666635.10.1017/CBO9781139174411
  • Lee, S., & Byrne, P. (1998). Diversification by sector, region or function? A mean absolute deviation optimisation. Journal of Property Valuation and Investment, 16(1), 38–56.10.1108/14635789810205119
  • Lee, S., & Stevenson, S. (2005). Testing the statistical significance of sector and regional diversification. Journal of Property Investment and Finance, 23(5), 39–411.
  • Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91.
  • Meeusen, W., & van Den Broeck, J. (1977). Efficiency estimation from Cobb-Douglas production functions with composed error. International Economic Review, 18, 435–444.10.2307/2525757
  • Nozeman, E. (2010). Transaction costs in commercial real estate: An European comparison. 17th Annual European real Estate Society Conference, pp. 1–11.
  • Plazzi, A., Torous, W., & Valkanov, R. (2011). Exploiting property characteristics in commercial real estate portfolio allocation. The Journal of Portfolio Management, 37(5), 39–50.10.3905/jpm.2011.37.5.039
  • Santos, A., Tusi, J., Da Costa Jr, J., & Da Silva, S. (2005). Evaluating Brazilian mutual funds with stochastic frontiers. Economic Bulletin, 13(2), 1–6.
  • Sharpe, W. F. (1966). A simplified model for portfolio analysis. Management Science, 9(2), 277–293.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.