Simon Stevenson

Simon Stevenson

John and Rosalind Jacobi Family Professor of Real Estate
Chair, Runstad Department of Real Estate

Simon Stevenson is the John and Rosalind Jacobi Family Professor of Real Estate at the University of Washington. He is the Chair of the Runstad Department of Real Estate in the College of Built Environments at UW. Simon joined the University of Washington in 2016 from the Henley Business School, University of Reading where he was Professor of Real Estate Finance & Investment and Director of the Masters Program in Real Estate Finance. He previously held faculty appointments at Cass Business School, City University London and the Smurfit School of Business, University College Dublin.

Professor Stevenson’s primary research interests are in the fields of real estate capital markets; investment & portfolio management; housing economics and international financial markets. He has published over 80 papers in journals such as the Journal of International Business Studies, Real Estate Economics, Journal of Real Estate Finance & Economics, Journal of Housing Economics, Regional Studies, Housing Studies, European Journal of Finance, Urban Studies, International Review of Financial Analysis and the Journal of Real Estate Research.

Simon is co-editor of the Journal of Real Estate Portfolio Management (JREPM), the industry facing applied investment journal of the American Real Estate Society. Simon is a past-president of the International Real Estate Society and was Chair of the European Real Estate Society annual conference in both 2005 (Dublin) and 2007 (London). He is to chair the American Real Estate Society annual meeting in 2019 which is to be held is Scottsdale, Arizona. In addition to various best paper awards Professor Stevenson was awarded the 2006 International Real Estate Society Achievement Award.

Qualifications

PhD Finance, University College Dublin, 1997
MSc Investment Analysis, University of Stirling, 1993
BSc (Hons) Urban Estate Management, Liverpool John Moores University, 1992
Fellow, Royal Institution of Chartered Surveyors

Current Teaching

  • Real Estate Finance & Investment (MSRE)

Research

Journal Papers

“An Examination of the Comparative Accuracy of Macroeconomic and Real Estate Forecasts”, (with Dimitrios Papastamos & George Matysiak), Journal of Real Estate Research, forthcoming.

“Low Frequency Volatility of Real Estate Securities and Macroeconomic Risk”, (with Chyi Lin Lee & Ming Long Lee), Accounting and Finance, forthcoming.

“Interest Rate Sensitivity in European Public Real Estate Markets”, (with Alexey Akimov & Chyi Lin Lee), Journal of Real Estate Portfolio Management, forthcoming.

“An Asymmetric Panel Error-Correction Model of the Australian Office Market”, (with Alexandra Krystalogianni, Fotis Mouzakis & James Young), Journal of Real Estate Portfolio Management, forthcoming.

“Macro-Economic and Financial Determinants of Comovement across Global Real Estate Security Markets”, Journal of Real Estate Research, 2016, 38:4, 595-623.

“Performance Drivers of Private Real Estate Funds”, (with Kieran Farrelly), Journal of Property Research, 2016, 33:3, 214-235.

“The Interaction of Volatility, Volume and Skewness: Empirical Evidence form REITs”, (with Alexey Akimov & Elaine Hutson), Journal of Real Estate Portfolio Management, 2016, 22:1, 1-18.

“Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study”, (with Alexey Akimov & Maxim Zagonov), Journal of Real Estate Finance and Economics, 2015, 51:4, 503-540.

“Assessing the Accuracy and Dispersion of Real Estate Investment Forecasts”, (with Dimitrios Papastamos & George Matysiak), International Review of Financial Analysis, 2015, 42, 141-152.

“Synchonisation in Metropolitan Housing Market Cycles: An Empirical Investigation of Australia”, (with Alexey Akimov & James Young), Urban Studies, 2015, 52:9, 1665-1682.

“The Role of Undisclosed Reserves in English Open Outcry Auctions”, (with James Young), Real Estate Economics, 2015, 43:2, 375–402.

“The Probability of Sale and Price Premiums in Withdrawn Auctioned Properties”, (with James Young), Urban Studies, 2015, 52:2, 279-297.

“Concordance in Global Office Market Cycles”, (with Alexey Akimov, Elaine Hutson & Alexandra Krystalogianni), Regional Studies, 2014, 48:3, 456-470.

“A Multiple Error-Correction Model of Housing Supply”, (with James Young), Housing Studies, 2014, 29:3, 362-379.

“Futures Trading, Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures”, (with Chyi Lin Lee & Ming Long Lee), Journal of Real Estate Finance and Economics, 2014, 48:2, 299-322.

“The Performance Effects of Composition Changes on Sector Specific Indices: The Case of European Listed Real Estate”, (with Chris Brooks, Konstantina Kappou & Charles Ward), International Review of Financial Analysis, 2013, 29, 132-142.

“Dynamic Correlations between REIT Sub-Sectors and the Implications for Diversification”, (with James Chong & Alexandra Krystalogianni), Applied Financial Economics, 2012, 22:13, 1089-1109.

“Monetary Policy Transmission and Real Estate Investment Trusts”, (with Don Bredin & Gerard O’Reilly), International Journal of Finance & Economics, 2011, 16:1, 92-102.

“A Comparison of the Appraisal Process for Auction and Private Treaty Residential Sales”, (with James Young & Constantin Gurdgiev), Journal of Housing Economics, 2010, 19:2, 157-166.

“Residential Market Development in Sub-Saharan Africa”, (with Wilfred Anim-Odame & Tony Key), International Journal of Housing Markets and Analysis, 2010, 3:4, 308-326.

“Ghanaian Transaction Based Residential Indices”, (with Wilfred Anim-Odame & Tony Key), International Journal of Housing Markets and Analysis, 2010, 3:3, 216-232.

“Openess and Foreign Exchange Exposure: A Multi-Country Firm Level Analysis”, (with Elaine Hutson), Journal of International Business Studies, 2010, 41:1, 105-122.

“Equity and Fixed Income Markets as Drivers of Securitised Real Estate”, (with Chee Cheong, Richard Gerlach, Pat Wilson & Ralf Zurbruegg), Review of Financial Economics, 2009, 18:2, 103-111.

“Conditional Correlations and Real Estate Investment Trusts”, (with James Chong & Joelle Miffre), Journal of Real Estate Portfolio Management, 2009, 15:2, 173-184.

“Measures of Real Estate Values from Land Registration and Valuation systems in Emerging Economies: The Case of Ghana”, (with Wilfred Anim-Odame & Tony Key), Journal of Real Estate Literature, 2009, 17:1, 63-84.

“Modelling Long Memory in REITs”, (with John Cotter), Real Estate Economics, 2008, 36:3, 533-554.

“Asymmetry in REIT Returns”, (with Elaine Hutson), Journal of Real Estate Portfolio Management, 2008, 14:2, 105-123.

“NY-LON: Does a Single Cross-Continental Office Market Exist ?”, (with Cath Jackson & Craig Watkins). Journal of Real Estate Portfolio Management, 2008, 14:2, 79-92.

“Modelling Housing Market Fundamentals: Empirical Evidence of Extreme Market Conditions”, Real Estate Economics, 2008, 36:1, 1-29.

“The Substitutability of REITs and Value Stocks”, (with Stephen Lee), Applied Financial Economics, 2007, 17:7, 541-557.

“Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities”, (with Pat Wilson & Ralf Zurbruegg), European Journal of Finance, 2007, 13:8, 705-715.

“Monetary Shocks and REIT Returns”, (with Don Bredin & Gerard O’Reilly), Journal of Real Estate Finance & Economics, 2007, 35:3, 315-331.

“Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Components Approach”, (with Pat Wilson & Ralf Zurbruegg), Journal of Real Estate Finance & Economics, 2007, 34:3, 407-424.

“A Comparison of the Forecasting Ability of ARIMA Models”, Journal of Property Investment & Finance, 2007, 25:3, 223-240.

“Measuring Spillover Effects across Asian Property Stocks”, (with Pat Wilson & Ralf Zurbruegg), Journal of Property Research, 2007, 24:2, 123-138.

“Uncovering Volatility Dynamics in Daily REIT Returns”, (with John Cotter), Journal of Real Estate Portfolio Management, 2007, 13:2, 119-128.

“Exploring the Intra-Metropolitan Dynamics of the London Office Market”, Journal of Real Estate Portfolio Management, 2007, 13:2, 93-98.

“Forecasting Housing Supply: Empirical Evidence from the Irish Market”, (with James Young), European Journal of Housing Policy, 2007, 7:1, 1-17.

“A Multivariate Analysis of REIT Volatility”, (with John Cotter), Journal of Real Estate Finance & Economics, 2006, 32:3, 305-325.

“The Abnormal Performance of UK Utility Privatisations”, Studies in Economics & Finance, 2006, 23:3, 164-184.

“Real Estate in the Mixed-Asset Portfolio: The Question of Consistency”, (with Stephen Lee), Journal of Property Investment & Finance, 2006, 24:2, 123-135.

“Precious y Comportamientos Especulativos en Mercados Inmobiliarios” (Speculative Behavior in Housing Markets: An International Perspective), (with James Young), Papeles de Economia Espanola (Spanish Economic Papers), 2006, 109, 14-26.

“Testing the Statistical Significance of Regional & Sector Diversification”, (with Stephen Lee), Journal of Property Investment & Finance, 2005, 23:5, 391-411.

“Real Estate Portfolio Construction and Estimation Risk”, (with Stephen Lee), Journal of Property Investment & Finance, 2005, 23:3, .234-253.

“The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run”, (with Stephen Lee), Journal of Real Estate Portfolio Management, 2005, 11:1, 55-80.

“A Performance Evaluation of Portfolio Managers: Tests of Micro & Macro Forecasting”. European Journal of Finance, 2004, 10:5, 391-411.

“House Price Diffusion and Inter-Regional and Cross-Border House Price Dynamics”, Journal of Property Research, 2004, 21:4, 301-320.

“New Empirical Evidence on Heteroscedasticity in Hedonic Housing Models”, Journal of Housing Economics, 2004, 13:2, 135-153.

“Valuation Accuracy: A Comparison of Residential Guide Prices & Auction Results”, (with James Young), Property Management, 2004, 22:1, 45-54.

“Testing the Statistical Significance of Real Estate in an International Mixed-Asset Portfolio”, Journal of Property Investment & Finance, 2004, 22:1, 11-24.

“A Comparison of Alternative Rental Forecasting Models: Empirical Tests on the London Office Market”, (with Oliver McGrath), Journal of Property Research, 2003, 20:3, 235-260.

“Tests of the Micro & Macro Forecasting Ability of Real Estate Funds”, (with Stephen Lee), Journal of Property Research, 2003, 20:3, 207-234.

“Time-Weighted Portfolio Optimisation”, (with Stephen Lee), Journal of Property Investment & Finance, 2003, 21:3, 233-249.

“Estimation of Apartment Submarkets”, (with James Berry, Stanley McGreal, James Webb & James Young), Journal of Real Estate Research, 2003, 25:2, 159-170.

“An Examination of Volatility Spillovers in REIT Returns”, Journal of Real Estate Portfolio Management, 2002, 8:3, 229-238.

“Ex-ante and ex-post Performance of Optimal REIT Portfolios”, Journal of Real Estate Portfolio Management, 2002, 8:3, 199-207.

“The Sensitivity of European Bank Stocks to Interest Rate Changes”, Multinational Finance Journal, 2002, 6:3/4, 223-249.

“Momentum Effects & Mean Reversion in Real Estate Securities”, Journal of Real Estate Research, 2002, 23:1, 47-64.

“Government Intervention and its Impact on the Housing Market in Greater Dublin”. (with James Berry, Stanley McGreal & James Young), Housing Studies, 2001, 16:6, 755-769.

“The Linkages Between Real Estate Securities in Asia & the Pacific-Rim”, (with Ryan Garvey & Gary Santry), Pacific-Rim Property Research Journal, 2001, 7:4, 240-257.

“Evaluating the Investment Attributes & Performance of Property Companies”, Journal of Property Investment & Finance, 2001, 19:3, 251-266.

“Bayes-Stein Estimators & International Real Estate Asset Allocation”, Journal of Real Estate Research, 2001, 21:1, 89-103.

“Emerging Markets, Downside Risk and the Asset Allocation Decision”, Emerging Markets Review, 2001, 2:1, 50-66.

“Tax Policies and Residential Mobility”, (with Paul Childs & Mark Hoven Stohs), International Real Estate Review, 2001, 4:1, 94-116.

“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, 26-41.

“The Long-Term Advantages to Incorporating Indirect Securities in Direct Real Estate Portfolios”, Journal of Real Estate Portfolio Management, 2001, 7:1, 5-16.

“Constraining Optimal Portfolios & The Effect on Real Estates Allocation”, Journal of Property Investment & Finance, 2000, 18:4, 488-506.

“Contagion Effects & Intra-Industry Information Transfers: The Example of Olympia & York”, Journal of Property Research, 2000, 17:2, 133-146.

“A Long Term Analysis of Regional Housing Markets & Inflation”, Journal of Housing Economics, 2000, 9:1, 24-39.

“International Real Estate Diversification: Empirical Tests using Hedged Indices”, Journal of Real Estate Research, 2000, 19:1, 105-131.

“The Efficiency of the ISEQ Index: Empirical Tests using Daily Data”, Irish Accounting Review, 2000, 7:1, 109-136.

“The Performance & Inflation Hedging Ability of Regional Housing Markets”, Journal of Property Investment & Finance, 1999, 17:3, 239-260.

“Real Estate’s Role in an International Multi-Asset Portfolio: Empirical Evidence using Irish Data”, Journal of Property Research, 1999, 16:3, 219-242.

“An Examination of the Inflation Hedging Ability of Irish Real Estate”, (with Louis Murray), Journal of Real Estate Portfolio Management, 1999, 5:1, 59-69.

“The Timing & Selection Ability of Fund Managers: Parametric & Non-Parametric Tests”, Irish Accounting Review, 1998, 5:2, 66-88.

“Irish Commercial Property as a Portfolio Asset: Its Contribution to Risk Reduction”, Journal of Property Valuation & Investment, 1997, 15:4, 337-354.

“Irish Property Funds: Empirical Evidence on Market Timing & Selectivity”, (with Ray Kinsella & Ruari O’Healai), Irish Business & Administrative Research, 1997, 18:1, 163-176.

Book Chapters and Other Publications

“The Dynamics of the Irish Housing Market”, in Bardhan, A., Edelstein, R. & Kroll, C. (eds). “One World, One Crisis: The Global Housing Market Meltdown”, 2011.

“The US REIT Market”, in McGreal, S. & Ramon, S. (eds). “The Introduction of REITs in Europe: A Global Perspective”, 2008. {second edition 2014}

“The Development of Real Estate Investment Trusts”, in McGreal, S. & Ramon, S. (eds). “The Introduction of REITs in Europe: A Global Perspective”, 2008. {second edition 2014}

“Real Estate Portfolio Investment”, CAIA Level 2 Handbook, 2008.

“International Real Estate Portfolio Construction & Strategy”, IPF Handbook on International Real Estate, 2004.

“The Impact of Monetary Union on Diversification Opportunities in European Capital Markets”, (with Gary Santry), in Moser, T. & Schips, B. (eds). EMU, Financial Markets and the Outside World. Kluwer Academic Publishers: Dordrecht, 2000.

“A Performance Evaluation of Real Estate Portfolio Managers”, in the published proceedings of the RICS Cutting Edge 1999 Property Research Conference, RICS: London, 1999, ISBN: 0-85406-980-1

“The Daily Co-Movement of Irish Equities”, Institute of European Finance Research Papers, 1998. ISSN: 0269-3933

“Real Estates Required Return: Does it Deserve a Place in a Mixed Asset Portfolio”, in the published proceedings of the RICS Cutting Edge 1998 Property Research Conference, RICS: London, 1998, ISBN: 0-85406-946-1

“Irish Financial Data Sources”, (with Paul Ryan), in Brannick, T. & Roche, W. (eds). Business Research Methods: Strategies, Techniques & Sources. Oak Tree Press: Dublin, 1997.

Selected Current Research Projects

“Performance Persistence and Capital Formation in Private Real Estate Funds”, with Kieran Farrelly (StepStone Real Estate).

“House Price Dynamics and Bank Herding: European Empirical Evidence”, with Antonio Miguel Martins (Universidade de Madeira), Ana Paula Serra (Universidade do Porto) and Vitorino Martins (Universidade do Porto).

“Cross-Border Information Flows: The Sensitivity of Emerging Markets to U.S. Interest Rates”, with Alexey Akimov (Lancaster University).

“Non-Linear Mean Reversion in the Discount to Net Asset Value of Public Real Estate Firms”, with Alexey Akimov (Lancaster University).

“Does REIT Institutional Ownership Affect Idiosyncratic Risk?”, with Ranoua Bouchouicha (University of Reading) and Heidi Falkenbach (Aalto University).

“Assessing the Accuracy of Housing Start Forecasts”, with Dimitrios Papastamos (Eurobank) & Fotis Mouzakis (Frynon Consulting).

“Rationality and Momentum in Real Estate Investment Forecasts”, with Dimitrios Papastamos (Eurobank) & Fotis Mouzakis (Frynon Consulting)