Staff Profile:Professor Simon Stevenson
- Name:
- Professor Simon Stevenson
- Job Title:
- Professor of Real Estate Finance and Investment
- Responsibilities:
- Areas of Interest:
- Research groups / Centres:
- Publications:
Profile
Simon Stevenson joined the School of Real Estate & Planning at Henley Business School in late 2010 as Professor of Real Estate Finance and Investment. Simon will lecture on Real Estate Securities for the MSc students and Finance & Markets on the BSc programme. He is Course Director for the new MSc in Real Estate Finance which is to be launched in September 2011 in conjunction with the ICMA Centre.
Simon joined us from Cass Business School, City University where he had been Professor of Finance, Course Director for the Cass Real Estate masters programmes and Co-Director of the Centre for Real Estate Finance. Prior to Cass he worked from 1994-2005 at the Smurfit School of Business, University College Dublin and remains a Research Associate of the Centre for Financial Markets at Smurfit. During 2010 he spent four months as Visiting Professor of Finance at the University of Adelaide.
Professor Stevenson's primary research interests are in the fields of REITs, real estate investment, housing economics and international portfolio management. He has published over 60 papers in journals such as the Real Estate Economics, Journal of Real Estate Finance & Economics, Journal of Housing Economics, European Journal of Finance, Journal of International Business Studies, Emerging Markets Review and the Journal of Real Estate Research. He was awarded the 2006 International Real Estate Society Achievement Award and in a recent ranking of real estate researchers for the period 2001-6 Simon was ranked 2nd in Europe, 20th globally and 5th of non-US affiliated researchers.
Current Research
1. "Determination of the Probability of Sale and Price Premium in Residential Auctions", with James Young (University of Auckland).
2. "Separating Skill from Luck in REIT Mutual Funds", with Luke Layfield (Aviva Investors).
3. "The Interaction of Volatility, Volume and Skewness in a Maturing Sector: Empirical Evidence on REITs", with Elaine Hutson (University College Dublin).
4. "Kurtosis and Consequences: The Case of International Real Estate Stocks", with Dirk Brounen (RSM Erasmus) & Melissa Porras Prado (RSM Erasmus).
5. "Capital Market Expectations and the London Office Market", with James Young (University of Auckland).
6. "Tests of Dynamic Asymmetric Correlations across REIT Sub-Sectors", with James Chong (California State University-Northridge) & Alexandra Krystalogianni (Schroders).
7. "A Multiple Error-Correction Model of Housing Supply", with James Young (University of Auckland).
8. "Commonalities in Global Office Market Cycles", with Alexey Akimov (Henley Business School, University of Reading), Elaine Hutson (University College Dublin) & Alexandra Krystalogianni (Schroders).
Publications:
1. "Monetary Policy Transmission and Real Estate Investment Trusts", (with Don Bredin & Gerard O'Reilly), International Journal of Finance & Economics, forthcoming.
2. "The Dynamics of the Irish Housing Market", in Bardhan, A., Edelstein, R. & Kroll, C. (eds). "One World, One Crisis: The Global Housing Market Meltdown", forthcoming.
3. "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.
4. "Ghanaian Transaction Based Residential Indices", (with Wilfred Anim-Odame & Tony Key), International Journal of Housing Markets and Analysis, 2010, 3:3, 216-232.
5. "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.
6. "Openess and Foreign Exchange Exposure: A Multi-Country Firm Level Analysis", (with Elaine Hutson), Journal of International Business Studies, 2010, .41:1, 105-122. (FT Ranked Journal)
7. "Conditional Correlations and Real Estate Investment Trusts", (with James Chong & Joelle Miffre), Journal of Real Estate Portfolio Management, 2009, 15:2, 173-184.
8. "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.
9. "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.
10. "Modelling Long Memory in REITs", (with John Cotter), Real Estate Economics, 2008, 36:3, 533-554.
11. "Asymmetry in REIT Returns", (with Elaine Hutson), Journal of Real Estate Portfolio Management, 2008, 14:2, 105-123.
12. "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.
13. "Modelling Housing Market Fundamentals: Empirical Evidence of Extreme Market Conditions", Real Estate Economics, 2008, 36:1, 1-29.
14. "The US REIT Market", in McGreal, S. & Ramon, S. (eds). "The Introduction of REITs in Europe: A Global Perspective", 2008.
15. "The Development of Real Estate Investment Trusts", in McGreal, S. & Ramon, S. (eds). "The Introduction of REITs in Europe: A Global Perspective", 2008.
16. "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.
17. "Monetary Shocks and REIT Returns", (with Don Bredin & Gerard O'Reilly), Journal of Real Estate Finance & Economics, 2007, 35:3, 315-331.
18. "The Substitutability of REITs and Value Stocks", (with Stephen Lee), Applied Financial Economics, 2007, 17:7, 541-557.
19. "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.
20. "A Comparison of the Forecasting Ability of ARIMA Models", Journal of Property Investment & Finance, 2007, 25:3, 223-240.
21. "Measuring Spillover Effects across Asian Property Stocks", (with Pat Wilson & Ralf Zurbruegg), Journal of Property Research, 2007, 24:2, 123-138.
22. "Uncovering Volatility Dynamics in Daily REIT Returns", (with John Cotter), Journal of Real Estate Portfolio Management, 2007, 13:2, 119-128.
23. "Exploring the Intra-Metropolitan Dynamics of the London Office Market", Journal of Real Estate Portfolio Management, 2007, 13:2, 93-98.
24. "Forecasting Housing Supply: Empirical Evidence from the Irish Market", (with James Young), European Journal of Housing Policy, 2007, 7:1, 1-17.
25. "A Multivariate Analysis of REIT Volatility", (with John Cotter), Journal of Real Estate Finance & Economics, 2006, 32:3, 305-325.
26. "The Abnormal Performance of UK Utility Privatisations", Studies in Economics & Finance, 2006, 23:3, 164-184.
27. "Real Estate in the Mixed-Asset Portfolio: The Question of Consistency", (with Stephen Lee), Journal of Property Investment & Finance, 2006, 24:2, 123-135.
28. "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.
29. "Testing the Statistical Significance of Regional & Sector Diversification", (with Stephen Lee), Journal of Property Investment & Finance, 2005, 23:5, 391-411.
30. "Real Estate Portfolio Construction and Estimation Risk", (with Stephen Lee), Journal of Property Investment & Finance, 2005, 23:3, .234-253.
31. "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.
32. "A Performance Evaluation of Portfolio Managers: Tests of Micro & Macro Forecasting". European Journal of Finance, 2004, 10:5, 391-411.
33. "House Price Diffusion and Inter-Regional and Cross-Border House Price Dynamics", Journal of Property Research, 2004, 21:4, 301-320.
34. "New Empirical Evidence on Heteroscedasticity in Hedonic Housing Models", Journal of Housing Economics, 2004, 13:2, 135-153.
35. "Valuation Accuracy: A Comparison of Residential Guide Prices & Auction Results", (with James Young), Property Management, 2004, 22:1, 45-54.
36. "Testing the Statistical Significance of Real Estate in an International Mixed-Asset Portfolio", Journal of Property Investment & Finance, 2004, 22:1, 11-24.
37. "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.
38. "Tests of the Micro & Macro Forecasting Ability of Real Estate Funds", (with Stephen Lee), Journal of Property Research, 2003, 20:3, 207-234.
39. "Time-Weighted Portfolio Optimisation", (with Stephen Lee), Journal of Property Investment & Finance, 2003, 21:3, 233-249.
40. "Estimation of Apartment Submarkets", (with James Berry, Stanley McGreal, James Webb & James Young), Journal of Real Estate Research, 2003, 25:2, 159-170.
41. "The Sensitivity of European Bank Stocks to Interest Rate Changes", Multinational Finance Journal, 2002, 6:3/4, 223-249
42. "An Examination of Volatility Spillovers in REIT Returns", Journal of Real Estate Portfolio Management, 2002, 8:3, 229-238.
43. "Ex-ante and ex-post Performance of Optimal REIT Portfolios", Journal of Real Estate Portfolio Management, 2002, 8:3, 199-207.
44. "Momentum Effects & Mean Reversion in Real Estate Securities", Journal of Real Estate Research, 2002, 23:1, 47-64.
45. "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.
46. "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.
47. "Evaluating the Investment Attributes & Performance of Property Companies", Journal of Property Investment & Finance, 2001, 19:3, 251-266.
48. "Tax Policies and Residential Mobility", (with Paul Childs & Mark Hoven Stohs), International Real Estate Review, 2001, 4:1, 94-116.
49. "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.
50. "Bayes-Stein Estimators & International Real Estate Asset Allocation", Journal of Real Estate Research, 2001, 21:1, 89-103.
51. "The Long-Term Advantages to Incorporating Indirect Securities in Direct Real Estate Portfolios", Journal of Real Estate Portfolio Management, 2001, 7:1, 5-16.
52. "Emerging Markets, Downside Risk and the Asset Allocation Decision", Emerging Markets Review, 2001, 2:1, 50-66.
53. "Constraining Optimal Portfolios & The Effect on Real Estates Allocation", Journal of Property Investment & Finance, 2000, 18:4, 488-506.
54. "Contagion Effects & Intra-Industry Information Transfers: The Example of Olympia & York", Journal of Property Research, 2000, 17:2, 133-146.
55. "International Real Estate Diversification: Empirical Tests using Hedged Indices", Journal of Real Estate Research, 2000, 19:1, 105-131.
56. "A Long Term Analysis of Regional Housing Markets & Inflation", Journal of Housing Economics, 2000, 9:1, 24-39.
57. "The Efficiency of the ISEQ Index: Empirical Tests using Daily Data", Irish Accounting Review, 2000, 7:1, 109-136.
58. "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.
59. "Real Estate's Role in an International Multi-Asset Portfolio: Empirical Evidence using Irish Data", Journal of Property Research, 1999, 16:3, 219-242.
60. "The Performance & Inflation Hedging Ability of Regional Housing Markets", Journal of Property Investment & Finance, 1999, 17:3, 239-260.
61. "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.
62. "The Timing & Selection Ability of Fund Managers: Parametric & Non-Parametric Tests", Irish Accounting Review, 1998, 5:2, 66-88.
63. "Irish Commercial Property as a Portfolio Asset: Its Contribution to Risk Reduction", Journal of Property Valuation & Investment, 1997, 15:4, 337-354.
64. "Irish Property Funds: Empirical Evidence on Market Timing & Selectivity", (with Ray Kinsella & Ruari O'Healai), Irish Business & Administrative Research, 1997, 18:1, 163-176.
65. "Irish Financial Data Sources", (with Paul Ryan), in Brannick, T. & Roche, W. (eds). Business Research Methods: Strategies, Techniques & Sources. Oak Tree Press: Dublin, 1997.
