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Paper eres2010_411:
RE-EXAMINING THE MODELLING OF YIELDS IN A VOLATILE MARKET

id eres2010_411
authors Mcgough, Tony; Burston, Ben
year 2010
title RE-EXAMINING THE MODELLING OF YIELDS IN A VOLATILE MARKET
source 17th Annual European Real Estate Society Conference in Milan, Italy
summary Real estate yields have demonstrated significant movement and therefore been a key driver of returns in recent years. Strong investor sentiment and ample liquidity contributed to a marked inward yield shift in the years leading up to the onset of the crisis in 2007-08, boosting investor returns. Since then, they have shifted out rapidly with a consequent negative impact on investor returns.The increased movement we have seen in recent years, and the consequent large impact on investor returns has highlighted the importance of accurately forecasting yield movements. Formal yield modelling is not, however, as well established in practice as the modelling of rents and vacancy and previous research has highlighted significant econometric difficulties in this area. We view the recent experience as an opportunity to re-examine formal modelling in this area, given that the movements seen in recent years provide more opportunity to establish meaningful relationships, in contrast to the relative stability of yields in the decade prior to this. On the back of this work we shall then look at the different characteristics of the regional markets and the prospects for forecasting yields going forward both in Europe and the Asia Pacific region, back testing the accuracy of our modelling techniques.
keywords Yield modelling, comparative analysis, Europe, Asia Pacific, forecasting, back testing
series ERES:conference
email tony.mcgough@dtz.com
more http://www.eres2010.org/index.asp?page=papers_download
content file.ppt (820,736 bytes)
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session Market Research, Analysis & Forecasting (2)
last changed 2010/08/04 20:47
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