European Business School London

About: European Business School London is a based out in . It is known for research contribution in the topics: Real estate investment trust & Empirical research. The organization has 323 authors who have published 636 publications receiving 17446 citations. The organization is also known as: EBS London.

Further Evidence on the Integration of REIT, Bond, and Stock Markets

Abstract: This study examines the integration of REIT, bond and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the structural changes in the early 1990s. Overall, results suggest that the benefits of diversification by including REITs in multi-asset portfolios diminish after 1992.

Uncertainty and the employment dynamics of small and large businesses

Abstract: We examine the impact of uncertainty on employment dynamics. Alternative measures of uncertainty are constructed based on the survey of professional forecasters, and regression-based forecasting models for GDP growth, inflation, SP the impact on Large Businesses are generally non-existent or weaker. Our results suggest that to truly understand the effects of uncertainty on employment dynamics, we need to focus on the relatively smaller and entrepreneurial businesses. We discuss implications for the framing of economic policy.

Exact and heuristic approaches for the index tracking problem with UCITS constraints

Abstract: Index tracking aims at determining an optimal portfolio that replicates the performance of an index or benchmark by investing in a smaller number of constituents or assets. The tracking portfolio should be cheap to maintain and update, i.e., invest in a smaller number of constituents than the index, have low turnover and low transaction costs, and should avoid large positions in few assets, as required by the European Union Directive UCITS (Undertaking for Collective Investments in Transferable Securities) rules. The UCITS rules make the problem hard to be satisfactorily modeled and solved to optimality: no exact methods but only heuristics have been proposed so far. The aim of this paper is twofold. First, we present the first Mixed Integer Quadratic Programming (MIQP) formulation for the constrained index tracking problem with the UCITS rules compliance. This allows us to obtain exact solutions for small- and medium-size problems based on real-world datasets. Second, we compare these solutions with the ones provided by the state-of-art heuristic Differential Evolution and Combinatorial Search for Index Tracking (DECS-IT), obtaining information about the heuristic performance and its reliability for the solution of large-size problems that cannot be solved with the exact approach. Empirical results show that DECS-IT is indeed appropriate to tackle the index tracking problem in such cases. Furthermore, we propose a method that combines the good characteristics of the exact and of the heuristic approaches.

Determining Real Estate Betas for Markets and Property Types to Set Better Investment Hurdle Rates

Abstract: Executive Summary. Corporate theory states that investment decisions are best made with a hurdle rate that is adjusted for each investment's risks. Although determining a real estate risk premium h...