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Academic Research

Research: Academic Research

The real estate faculty in the Runstad Center are leading experts in their respective fields and regularly publish in leading journals such as Real Estate Economics, Journal of Real Estate Finance & Economics, Journal of Housing Economics, Regional Studies, Urban Studies, Journal of Real Estate Research and Housing Studies. The academic research output of the faculty encompasses a wide-array of different topics. However, the academic output of the faculty is only one aspect of the research activities of the Center.

Working Papers 2017

Annisa Dian Prima & Simon Stevenson “Sponsor Ownership, Board Independence and Firm Performance: The Case of Asian REITs”, Runstad Center for Real Estate Studies Working Paper, 17-4

Antonio Miguel Martins, Ana Paula Serra & Simon Stevenson “Determinants of Real Estate Bank Profitability Before and During the Crisis: Evidence from the U.S., U.K. and Germany”, Runstad Center for Real Estate Studies Working Paper, 17-3

Kieran Farrelly & Simon Stevenson “Performance Persistence and Capital Formation in Private Real Estate Funds”, Runstad Center for Real Estate Studies Working Paper, 17-2

Kieran Farrelly & Simon Stevenson “The Risk and Return on Private Equity Real Estate Funds”, Runstad Center for Real Estate Studies Working Paper, 17-1

2016

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

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

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

2015

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

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

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

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

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

2014

Lee, C.L., Stevenson, S. & Lee, M.L. (2014). “Futures Trading, Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures”, Journal of Real Estate Finance and Economics, 48:2, 299-322.

Stevenson, S., Akimov, A., Hutson, E. & Krystalogianni, A. (2014). “Concordance in Global Office Market Cycles”, Regional Studies, 48:3, 456-470.

Stevenson, S. & Young, J. (2014). “A Multiple Error-Correction Model of Housing Supply”, Housing Studies, 29:3, 362-379.

2013

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

2012

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

2011

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

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

2010

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

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

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

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

2009

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

Cheong, C., Gerlach, R., Stevenson, S., Wilson, P. & Zurbruegg, R. (2009). “Permanent and Transitory Drivers of Securitised Real Estate”, Review of Financial Economics, 18:2, 103-111.

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

2008

Cotter, J. & Stevenson, S. (2008). “Modelling Long Memory in REITs”, Real Estate Economics, 36:3, 533–554

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

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

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

Stevenson, S. (2008). “The US REIT Market” in McGreal, S. & Sotelo, R. (ed.), The Introduction of REITs in Europe – A Global Perspective

Stevenson, S. (2008). “The Development of Real Estate Investment Trusts” in McGreal, S. & Sotelo, R. (ed.), The Introduction of REITs in Europe – A Global Perspective

2007

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

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

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

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

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

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

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

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

Wilson, P., Stevenson, S. & Zurbruegg, R. (2007). “Measuring Spillover Effects Across Asian Property Stocks”, Journal of Property Research, 24:2, 123-138

2006

Cotter, J. & Stevenson, S. (2006). “Multivariate Modelling of Daily REIT Volatility”, Journal of Real Estate Finance & Economics, 32:3, 305-325

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

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

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

2005

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

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

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

2004

Stevenson, S. (2004). “A Performance Evaluation of Portfolio Managers: Tests of Micro & Macro Forecasting”, European Journal of Finance, 10:55, 391-411

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

Stevenson, S. (2004). “New Empirical Evidence on Heteroscedasticity in Hedonic Housing Models”, Journal of Housing Economics, 13:2, 136-153

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

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

2003

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

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

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

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

2002

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

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

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

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

2001

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

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

Stevenson, S. (2001). “Re-Examination of the Inflation-Hedging Ability of Real Estate Securities: Empirical Tests using International Orthogonalized & Hedged Data”, International Real Estate Review, 4:1, 26-41

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

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

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

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

Stohs, M.H., Childs, P. & Stevenson, S. (2001). “Tax Policies and Residential Mobility”, International Real Estate Review, 4:1, 94-116

2000

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

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

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

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

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

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