How Useful is the Integration of Property and Securities Markets for Forecasting Property Yields?
||Tsolacos, Sotiris; Krystaloyianni, Alexandra
||How Useful is the Integration of Property and Securities Markets for Forecasting Property Yields?
||11th European Real Estate Society Conference (2-5 June 2004) Milano, Italy
||The analysis and forecasting of property yield movements is an area that increasingly attracts research interest. The sensitivity of capital values and total returns to yield shifts makes the correct prediction of yields a significant part of investment strategy. It is submitted that behavioural factors affect yields in particular periods; during these periods yields may be driven away from their fundamental values. A recent example illustrates the point. In 2003, at a period when gilt yields in the UK increased property yields fell and quite significantly in some sectors (such as shopping centres and retail warehousing). At the beginning of 2004 the situation has not changed. Strong investment demand and lack of product are responsible for these trends in a period when interest rates are on the rise. Notwithstanding such influences a search for the fundamental drivers of yields and the way yields move in relation to yields on other classes is of interest to property investors. Identifying the fundamentals of yield movements and predicting property yields on the basis of these fundamentals remains a valuable exercise. Behavioural information can be built in and explain the irregular component of yield movements.
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||Real Estate Forecasting
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