Eres : Digital Library : Works

Paper eres2014_247:
Rationally irrational or irrationally rational? Risk perceptions and their influence in the investment process

id eres2014_247
authors Constantinescu, Mihnea
year 2014
title Rationally irrational or irrationally rational? Risk perceptions and their influence in the investment process
source 21st Annual European Real Estate Society Conference in Bucharest, Romania
summary The current study explores the degree to which real estate investors rely on extrapolation to form expectations about future returns and risk and whether pricing is influenced by cognitive biases. A survey of Swiss institutional market participants elicits past portfolio returns and risk as well as expected values of return and risk over a one-year period. The data is employed to test the consistency of the relationship between expected risk and return. This test is based on simple relations between vacancy and growth rates in rent as well as on a new dynamic cap rate model derived from Campbell and Shiller’s (1988) dynamic DCF model. Preliminary results indicate that the bias caused by the affect heuristic is not present. One explanation, in line with research from the equity market, is that the lack of time pressure and the increased level of financial literacy impede the affect heuristic from occurring.
series ERES:conference
email mihnea@gmx.ch
more http://library.eres.org/cgi-bin/rsa98.pl?conf=ERES2014&type=session&theme=O&slot=2830
content file.pdf (457,544 bytes)
discussion No discussions. Post discussion ...
ratings
session O: Real Estate Finance & Investment
last changed 2014/10/21 21:51
HOMELOGIN (you are user _anon_894321 from group guest) Powered by SciX Open Publishing Services 1.002