Gianluca Marcato

Henley Business School - University of Reading

Professor of Finance and Real Estate

Department of Real Estate & Planning

Reading, RG6 6UD

United Kingdom

SCHOLARLY PAPERS

17

DOWNLOADS
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Top 27,125

in Total Papers Downloads

1,751

SSRN CITATIONS
Rank 25,403

SSRN RANKINGS

Top 25,403

in Total Papers Citations

8

CROSSREF CITATIONS

20

Scholarly Papers (17)

1.

Re-Thinking Commercial Real Estate Market Segmentation

Number of pages: 24 Posted: 17 Oct 2010 Last Revised: 03 Jun 2012
Franz Fuerst and Gianluca Marcato
University of Cambridge - Department of Land Economy and Henley Business School - University of Reading
Downloads 448 (65,068)
Citation 1

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market segmentation, commercial real estate, financial performance measurement, cluster analysis, neural network analysis, risk diversification

2.

Style Analysis in Real Estate Markets: Beyond the Sectors and Regions Dichotomy

Journal of Portfolio Management, Vol. 33, No. 5, 2009
Number of pages: 27 Posted: 13 Mar 2009 Last Revised: 10 Apr 2015
Franz Fuerst and Gianluca Marcato
University of Cambridge - Department of Land Economy and Henley Business School - University of Reading
Downloads 328 (93,539)
Citation 6

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investment styles, commercial real estate, portfolio analysis, performance measurement

3.

Evaluating Unsmoothing Procedures for Appraisal Data

Number of pages: 32 Posted: 16 Aug 2009
Shaun A. Bond, Soosung Hwang and Gianluca Marcato
UQ Business School, Sungkyunkwan University - Department of Economics and Henley Business School - University of Reading
Downloads 258 (121,124)
Citation 1

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Smoothing, Nonsynchronous Appraisal, Long Memory

4.

Driving Factors in Pricing European CMBS: Bond, Mortgage and Real Estate Characteristics

Number of pages: 26 Posted: 15 Aug 2009
Giovanni Alberto Tira and Gianluca Marcato
University of Reading - Department of Real Estate and Planning and Henley Business School - University of Reading
Downloads 195 (159,144)

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Asset Pricing, CMBS, Derivatives

5.

Smoothing and Implications for Asset Allocation Choices

Journal of Portfolio Management, Vol. 33, No. 5, 2007
Number of pages: 35 Posted: 11 Apr 2015
Gianluca Marcato and Tony Key
Henley Business School - University of Reading and City University London - Sir John Cass Business School
Downloads 180 (171,044)

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smoothing, asset allocation, real estate

6.

Information Content and Forecasting Ability of Sentiment Indicators: Case of Real Estate Market

Journal of Real Estate Research, Forthcoming
Number of pages: 48 Posted: 27 Aug 2014
Gianluca Marcato and Anupam Nanda
Henley Business School - University of Reading and University of Reading - School of Real Estate & Planning, Henley Business School
Downloads 117 (242,920)

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Sentiment Index, Predictability, VAR, Impulse Response, Out-of-sample Forecast

7.

Exchange Options in the REIT Industry

Advances in Investment Analysis & Portfolio Management, 9, 2019
Number of pages: 29 Posted: 12 Oct 2013 Last Revised: 01 Dec 2019
Henley Business School - University of Reading, University of the Witwatersrand - School of Construction Economics & Management and The COPPEAD Graduate School of Business - Federal University of Rio de Janeiro (UFRJ)
Downloads 64 (353,176)
Citation 1

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Exchange Option, REIT

8.

Volatility Smiles When Information is Lagged in Prices

North American Journal of Economics & Finance, 2018 (Forthcoming)
Number of pages: 21 Posted: 12 Oct 2013 Last Revised: 17 Apr 2018
Henley Business School - University of Reading, University of the Witwatersrand - School of Construction Economics & Management and The COPPEAD Graduate School of Business - Federal University of Rio de Janeiro (UFRJ)
Downloads 57 (374,135)

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Exchange option, lagged and volatility smile

9.

Direct Investment in Real Estate: Momentum Profits and Their Robustness to Trading Costs

Journal of Portfolio Management, Vol. 31, No. 5, 2005
Number of pages: 40 Posted: 11 Apr 2015
Gianluca Marcato and Tony Key
Henley Business School - University of Reading and City University London - Faculty of Finance
Downloads 53 (387,019)

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Momentum, real estate, smoothing

10.

The Dynamics of Asset Prices and Transaction Activity in Illiquid Markets: The Case of Private Commercial Real Estate

Journal of Real Estate Finance and Economics, Vol. 39, No. 3, 2009
Number of pages: 29 Posted: 07 Aug 2009 Last Revised: 10 Apr 2015
David C. Ling, Gianluca Marcato and Patrick M. McAllister
University of Florida - Warrington College of Business Administration, Henley Business School - University of Reading and University of Reading - Department of Real Estate and Planning
Downloads 28 (488,338)
Citation 1

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asset pricing, illiquidity, transaction activity, private real estate markets

11.

Market Integration, Country Institutions and IPO Underpricing

Number of pages: 42 Posted: 13 Dec 2018
Gianluca Marcato, Stanimira Milcheva and Cheng Zheng
Henley Business School - University of Reading, University College London and Independent
Downloads 14 (570,098)

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Financial Market Integration, IPO Underpricing, Country Institutions, Hierarchical Linear Modelling, Foreign IPOs

12.

Back from Beyond the Bid-Ask Spread: Estimating Liquidity in International Markets

Real Estate Economics, Vol. 35, No. 4, pp. 599-622, Winter 2007
Number of pages: 24 Posted: 18 Nov 2007
Gianluca Marcato and Charles W.R. Ward
Henley Business School - University of Reading and University of Reading
Downloads 8 (608,890)
Citation 1
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Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns

Real Estate Economics, Vol. 40, Issue 4, pp. 637-661, 2012
Number of pages: 25 Posted: 28 Dec 2012
Shaun A. Bond, Soosung Hwang and Gianluca Marcato
UQ Business School, Sungkyunkwan University - Department of Economics and Henley Business School - University of Reading
Downloads 1 (697,564)
Citation 1
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Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns

Real Estate Economics, Forthcoming
Posted: 11 Aug 2011
Shaun A. Bond, Soosung Hwang and Gianluca Marcato
UQ Business School, Sungkyunkwan University - Department of Economics and Henley Business School - University of Reading

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Commercial real estate, smoothing, ARFIMA

14.

Price Signaling and Return Chasing: International Evidence from Maturing REIT Markets

Real Estate Economics, Vol. 47, Issue 1, pp. 314-357, 2019
Number of pages: 44 Posted: 20 Feb 2019
Dirk Brounen, Gianluca Marcato and Edoardo Silvestri
Erasmus University Rotterdam (EUR) - Department of Financial Management, Henley Business School - University of Reading and University of Reading
Downloads 0 (681,569)
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15.

Urban Economic Openness and IPO Underpricing

Journal of Real Estate Finance and Economics, Vol. 56, No. 3, 2018
Posted: 14 Mar 2018
Gianluca Marcato, Stanimira Milcheva and Cheng Zheng
Henley Business School - University of Reading, University College London and Independent

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Ipo Underpricing; Urban Economic Openness; Real Estate; China

16.

An Investigation into Sentiment-Induced Institutional Trading Behavior and Asset Pricing in the REIT Market

Journal of Real Estate Finance and Economics, Vol. 51, No. 2, 2015
Posted: 26 Aug 2015
Prashant Das, Julia Freybote and Gianluca Marcato
Georgia State University - Department of Real Estate, Portland State University and Henley Business School - University of Reading

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Institutional investor sentiment; Flight to liquidity; Style investing; Asset pricing; Real estate

17.

Pricing Inefficiencies in Private Real Estate Markets Using Total Return Swaps

Journal of Real Estate Finance and Economics, Vol. 45, No. 3, 2012
Posted: 28 Nov 2012
Colin Lizieri, Gianluca Marcato, Paul Ogden and Andrew Baum
University of Cambridge - Department of Land Economy, Henley Business School - University of Reading, inProp Capital LLP and University of Oxford, Said Business School

Abstract:

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total return swaps, asset pricing, real estate market inefficiencies