Dr Gianluca Marcato

Senior Research Associate

T +44 (0)118 3788178 F: +44 (0)118 3788172

W: http://www.henley.reading.ac.uk/REP/Aboutus/Staff/g-marcato.asp

Biography

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 real option pricing and 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.

Publications

Published Articles

The Dynamics of Asset Prices, Capital Flows, and Transaction Activity in Illiquid, Informationally Inefficient, Commercial Real Estate Markets" (with D. Ling and P. McAllister), Journal of Real Estate Finance and Economics, Vol. 39 No. 3, pp. 359-383, 2009.

Style Analysis in Real Estate Markets: Beyond the Sectors and Regions Dichotomy (with F. Fuerst), Journal of Portfolio Management, Vol. 35 No. 5, pp. 104-117, 2009.

Back from Beyond the Bid-Ask Spread: Estimating Liquidity in International Markets (with C. Ward), Real Estate Economics, Vol. 35 No. 4, pp. 597-620, 2007.

Smoothing and Implication for Asset Allocation Choices (with T. Key), Journal of Portfolio Management, Vol. 33 No. 5, pp. 85-99, 2007.

Direct Investment in Real Estate: Momentum Profits and Their Robustness to Trading Costs (with T. Key), Journal of Portfolio Management, Vol. 31 No. 5, pp. 55-69, September 2005.

The Measurement and Modelling of Commercial Real Estate Performance (with P. Booth), British Actuarial Journal, Vol. 10 No. 1, pp. 5-61, 2004.

The Dependency Between Returns from Direct Real Estate and Returns from Real Estate Shares (with P. Booth), Journal of Property Investment and Finance, Vol. 22 No. 2, pp. 147-161, 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, 2004.

Chapters in books

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.

Recent Research Grants

May 09: IPF Educational Trust (GBP 10,000): PhD Funding to study "Alternative Investments and Asset Allocation Choices".

Mar 09: BNL Fondi Immobiliari - BNP Paribas (GBP 85,000): PhD Funding to study "Investment in Indirect Real Estate Vehicles: Listed vs. Unlisted".

May 08: Legal & General (GBP 31,000): "Style Analysis in Real Estate Markets: Beyond the Sectors and Regions Dichotomy".

Sep 06: IPF Educational Trust (GBP 3,000): "US REITs Research Database"

Jun 06: Investment Property Forum (GBP 10,000): "Pricing Property Derivatives". Co-applicant (with Andrew Baum and Colin Lizieri)

Honours and Awards

Apr 06 RREEF/DeutscheBank Prize for the Best Paper in Real Estate Investment / Portfolio Management presented at the 2005 American Real Estate Society (ARES) Conference. Title: "CAPM, Liquidity and Real Estate Performance".

Jun 05 American Real Estate Society Foundation Prize for the Best Paper in any area of Real Estate presented at the 2004 European Real Estate Society (ERES) Conference. Title: "CAPM, Liquidity and Real Estate Performance".

Dec 04 Faculty and Institute of Actuaries: Highly Commended Research Paper Award. Title: "The Measurement and Modelling of Commercial Real Estate Performance".

Sep 04 CASS Business School: Staff Achievement Prize for Outstanding Contribution to Research ("Awarded taking full and proper account of the recipient's exceptional personal achievement in supporting the aim of CASS to provide excellence in research")

Jun 03 Journal of Property Investment and Finance: Gerald Brown Award for the best paper in Real Estate Investment and Valuation presented at the 2002 ERES conference. Title: "Unsmoothed Direct Property Indices and Ungeared Real Estate Stock Indices: a Comparison and Long-Term Analysis of Dependency".