Dr Gianluca Marcato
Real Estate and Planning
Reader in Real Estate Finance
Senior Research Associate, ICMA Centre
Email: g.marcato@henley.reading.ac.uk
Telephone: +44 (0) 118 378 8178
Location: HBS building, Room 219, Whiteknights campus
Gianluca Marcato is Reader (Associate Professor) in Real Estate Finance and Director of the Master in Real Estate Finance and Investment at the University of Reading, where he is also Senior Research Associate at the ICMA Centre. Previously he worked at CASS Business School and Bocconi University. Starting from a background in corporate finance, he developed an interest in real estate, and particularly in investment, portfolio management and real estate finance. Lately his research and teaching interest is expanding into securitized real estate products such as REITs, derivatives, CMBS and unlisted funds. As a consultant in the real estate industry, he led the introduction of a new real estate index and benchmarking service for IPD in Italy and still works as a senior consultant in the research, training and Italian teams. He also created the Jones Lang LaSalle style index, and worked for several other companies on issues such as performance measurement, investment and securities appraisal, portfolio management and real estate finance.
By area: Corporate Finance and Real Estate Investment & Finance
By industry: Finance and Real Estate
By geography: International Markets
Module convenor for Corporate Finance (MSc Real Estate part time) Module convenor for Introduction to Corporate Finance (MSc Real Estate full time) Module convenor for Real Estate Finance (MSc Real Estate Finance full time).
Working Papers:
“Why Should We Use Sentiment Surveys to Pre-empt Economic Activities? A Fresh Look at the Residential and Commercial Real Estate Market” (with A. Nanda), AREUEA Mid-Year 2011 [SUBMITTED TO REVIEW OF ECONOMICS AND STATISTICS]
“Money-Smart Effect and Return Chasing Behaviour in Mutual Funds Investment” (with G. Tira), ERES 2010, University of Reading [TO BE SUBMITTED TO REAL ESTATE ECONOMICS]
“Real Option and Game Theoretical Approaches to Real Estate Development Projects: Multiple Equilibria and the Implications of Different Tie-Breaking Rules” (with T. Gabrieli), International AREUEA 2010, ERES 2010, University of Reading, Cass Business School, ICMA Centre, Warwick Business School, [TO BE SUBMITTED TO JOURNAL OF PROPERTY RESEARCH]
“Option Pricing of U.S. REITs M&A under Stochastic Volatility” (with T. Sebehela), ERES 2010 [TO BE SUBMITTED TO JOURNAL OF CORPORATE FINANCE]
“Real Option Pricing and Volatility Estimation in Mixed-Used Development Projects” (with L. Mongodi and C. Ward), ERES 2007, MIT-Cambridge-Maastricht Symposium 2007 [TO BE SUBMITTED TO DECISION SCIENCES]
“Systematic Influences on REIT Liquidity” (with J. Clayton and C. Ward), AREUEA 2008, ERES 2008, Maastricht-MIT-NUS Symposium 2008 [TO BE SUBMITTED TO REAL ESTATE ECONOMICS]
“Repeated Measures Regression and the Construction of Real Estate Indexes in Markets With Thin Information”, ERES 2005, Cambridge-UNC Symposium 2007 [TO BE SUBMITTED TO URBAN STUDIES]
“CAPM, Liquidity and Real Estate Performance”, ERES 2004, ARES 2005, Cambridge-Maastricht Symposium 2005, Cass Business School, Cambridge University [TO BE SUBMITTED TO JOURNAL OF REAL ESTATE FINANCE & ECONOMICS]
“Multiple Equilibria in Game Theory: Sharing Profits vs. Market Price” (with G. Limentani), ERES 2010 [TO BE SUBMITTED TO FINANCIAL MANAGEMENT]
“Re-thinking Commercial Real Estate Market Segmentation” (with F. Fuerst), ERES 2010, Henley Business School [TO BE SUBMITTED TO URBAN STUDIES] - [***SSRN's Top Ten download list for ERN: Market Structure (Topic) on 18 Dec 2010***].
“Liquidity Black Holes and Optimal Behavioural Model” (with T. Gabrieli and G. Tira)
“Government Intervention and the Co-movement of Real Estate Returns and Liquidity across-Countries” (with D. Ling and A. Naranjo)
“Indifference Pricing in a Real Option Framework With a Lack of Market Efficiency” (with L. Mongodi), ERES 2010
“Parameter Estimation in Financial Pricing Models” (with A. Lawless)
Journals & Publications:
Bond S., Hwang S. and Marcato G. (2012): “Evaluating Unsmoothing Procedures for Appraisal Data” (with S. Bond and S. Hwang), Real Estate Economics, Vol. 40 No. 3.
Marcato G. and Tira G. (2011): “European CMBS Pricing: Bond, Mortgage and Real Estate Characteristics”, Journal of Portfolio Management, Vol. 37 No. 5.
Lizieri C., Marcato G., Ogden P. and Baum A. (2011): “Pricing Inefficiencies in Private Real Estate Markets Using Total Return Swaps”, Journal of Real Estate Finance and Economics. DOI: 10.1007/s11146-010-9268-x
Ling D. and McAllister P. (2009): “The Dynamics of Asset Prices, Capital Flows, and Transaction Activity in Illiquid, Informationally Inefficient, Commercial Real Estate Markets”, Journal of Real Estate Finance and Economics, Vol. 39 No. 3, pp. 359-383. DOI: 10.1007/s11146-009-9182-2
Fuerst F. and Marcato G. (2009): “Style Analysis in Real Estate Markets: Beyond the Sectors and Regions Dichotomy”, Journal of Portfolio Management, Vol. 35 No. 5, pp. 104-117. DOI: 10.3905/JPM.2009.35.5.104
Marcato G. and Ward C. (2007): “Back from Beyond the Bid-Ask Spread: Estimating Liquidity in International Markets”, Real Estate Economics, Vol. 35 No. 4, pp. 597-620. DOI: 10.1111/j.1540-6229.2007.00202.x
Key T. and Marcato G. (2007): “Smoothing and Implication for Asset Allocation Choices”, Journal of Portfolio Management, Vol. 33 No. 5, pp. 85-99. DOI: 10.3905/jpm.2007.698909. [***included in the 2011 edition of Chartered Alternative Investment Analyst (CAIA) Level II: Current and Integrated Topics book 2011***]
Marcato G. and Key T. (2005): “Direct Investment in Real Estate: Momentum Profits and Their Robustness to Trading Costs”, Journal of Portfolio Management, Vol. 31 No. 5, pp. 55-69. DOI: 10.3905/jpm.2005.593888
Booth P. and Marcato G. (2004): “The Measurement and Modelling of Commercial Real Estate Performance”, British Actuarial Journal, Vol. 10 No. 1, pp. 5-61.
Booth P. and Marcato G. (2004): “The Dependency Between Returns from Direct Real Estate and Returns from Real Estate Shares”, Journal of Property Investment and Finance, Vol. 22 No. 2, pp. 147-161. DOI: 10.1108/14635780410536151
Marcato G. (2004): “Style Analysis in Real Estate Markets and the Construction of Value and Growth Indices”, Journal of Real Estate Portfolio Management, Vol. 10 No. 3, pp. 203-215.
“Small Cap: Country (Area) Rotation and Equity Style Timing” in AA.VV. “Multi-Style Equity Management”, Milan, EGEA, 2001.
“The Strategy of Multi-Level Constant Proportion Portfolio Insurance” in AA.VV. “Insurance Policies in Equity Management”, Milan, EGEA, 2000.
“The Implicit Cost in Forecasting Errors” in AA.VV. “Equity Management and the Risk of Forecasting”, Milan, EGEA, 2000.
Academic Conferences:
American Real Estate Urban Economics Association - ASSA meeting (2006, 2008-10, 2012), Mid-Year meeting (2009, 2011), International meeting (2007-08, 2010) -, Financial Management Association (2010), American Real Estate Society (2002, 2005-06), European Real Estate Society (2002-05, 2007-10), MIT-Maastricht-NUS Symposium (2009, 2011), Amsterdam-Cambridge-UNCC Symposium (2008), Cambridge-UNCC Symposium (2007), Rotterdam University Symposium (2007), MIT-Cambridge-Maastricht Symposium (2007), Ohio State University Conference in Honour of Patric Hendershott (2006), National University of Singapore Symposium (2006-07), Cambridge-Maastricht Symposium (2005), SPR-RICS Cutting Edge (2010). Private Sector Conferences: European Property Investment Conference (2004-05, 2007-08, 2010), IPF Derivatives Conference (2006, 2009), RealWorld Conference (2006, 2010), Italian RICS Conference (2006), Portuguese Property Valuation Conference (2006), MIPIM Conference (2006), Hotelforum (2007), Italian Property Valuation Conference (2004-11), EPIC Conference (2005), IPF Quarterly Briefing (2008, 2010).
Keith Elliott: “Correlation Structure of Alternative Investments”. - First paper presented at the 2010 ERES Conference. - Second paper presented at the 2011 ERES Conference. Mar09-date
Giovanni Tira: “Pricing Illiquidity in Unlisted Real Estate Funds”. - First paper presented at the 2010 ERES Conference and winner of the 2010 Best PhD Paper Prize and REP Research Seminars at University of Reading. - Second paper presented at the 2011 Symposium in Banking and Finance, 2011 ERES Conference and 2012 Annual AREUEA Conference. Sep09-date
Tumellano Sebehela: “Real Option Valuation of M&As in the REIT industry”. - First paper presented at the 2010 ERES Conference, 2011 Maastricht-NUS-MIT Symposium and REP Research Seminars at University of Reading. - Second paper presented at Cambridge-Reading PhD Research Day.