Country, sector and regional factors in European property returns

For those portfolio managers who follow a top-down approach to fund management when they are trying to develop a pan-European investment strategy they need to know which are the most important factors affecting property returns, so as to concentrate their management and research efforts accordingly. In order to examine this issue this paper examines the relative importance of country, sector and regional effects in determining property returns across Europe using the largest database of individual property returns currently available. Using annual data over the period 1996 to 2002 for a sample of over 25,000 properties the results show that the country-specific effects dominate sector-specific factors, which in turn dominate the regional-specific factors. This is true even for different sub-sets of countries and sectors. In other words, real estate returns are mainly determined by local (country specific) conditions and are only mildly affected by general European factors. Thus, for those institutional investors contemplating investment into Europe the first level of analysis must be an examination of the individual countries, followed by the prospects of the property sectors within the country and then an assessment of the differences in expected performance between the main city and the rest of the country.

Self-tuning property of state-space self tuners

The basic assumption from implicit self-tuning theory is that, for self tuning to occur, the control input obtained from the estimated system model converges to the value whic would be obtained if the system parameters were known. As as direct result of this, only certain control strategies are acceptable. Here a general rule for the self-tuning property of pole-placement self tuners is obtained, and previous strategies are shown to be special cases of this.