Eres : Digital Library : Works

Paper eres2003_212:
A Framework to Extrapolate Direct Property Performance from Vehicle-based Indices

id eres2003_212
authors Marcato, Gianluca
year 2003
title A Framework to Extrapolate Direct Property Performance from Vehicle-based Indices
source 10th European Real Estate Society Conference (10-13 June 2003) Helsinki, Finland
summary Several papers address the issue of price discovery in real estate markets and propose different models to analyse the information content included in vehicle-based indices. Moreover, the finance literature has recently developed the understanding of the impact of illiquidity costs on the general market and securities equilibrium. This paper applies a CAPM framework and demonstrates the existing relationship between values of geared and ungeared companies when net returns are used. We also prove that the tax shield decreases when the spread between illiquidity costs of equity and debt markets increases. In a real estate context, we finally propose a model to transform indirect into direct performances, by adjusting for leverage and illiquidity factors. This model can be easily applied to market with thin information to obtain a proxy for historical direct market performances.
series ERES:conference
email g.marcato@city.ac.uk
discussion No discussions. Post discussion ...
ratings
session Session 2, Indirect Real Estate and Price Discovery
last changed 2008/12/29 19:09
HOMELOGIN (you are user _anon_704107 from group guest) Powered by SciX Open Publishing Services 1.002