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Paper eres2004_147:
Forecasting Short-term Securitised Property Market Returns

id eres2004_147
authors Higgins, David
year 2004
title Forecasting Short-term Securitised Property Market Returns
source 11th European Real Estate Society Conference (2-5 June 2004) Milano, Italy
summary The structure of securitised property markets offers investors the opportunity for short-term gains compared with the long-term horizon for direct property investments. These potential financial benefits can be exploited by using forecasting techniques which can provide regular superior short-term forecasts. This research utilises the Australian accumulative Listed Property Trust (LPT) index, to critically evaluates weekly out-of-sample forecasts from three basic, and two advanced, forecast methods over a six-year period from 1998 to 2003. The forecast accuracy of the models yielded similar results, showing poor indication of future short-term accumulative LPT index performance. The forecasts were unable to predict, one week in advance, the direction of the accumulative LPT index. The advanced Holt-Winters Exponential Smoothing model was the preferred forecast model by a small margin. A better understanding of the short-term movement in securitised property markets performance will lead to improved accuracy of forecasting models and provide added value to an area of property research which should form an integral part of the decision-making process in the securitised property markets.
keywords Property securitisation; property returns; forecasting models; measurements of forecast error
series ERES:conference
email david.higgins@uts.edu.au
discussion No discussions. Post discussion ...
ratings
session Real Estate Forecasting
last changed 2008/12/21 10:41
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