Eres : Digital Library : Works

Paper eres2014_88:
The Changing Real Estate Risk Premium: Comparative Evidence from the UK, Australia and USA

id eres2014_88
authors Jones, Colin; Kevin Cutsforth, Neil Dunse
year 2014
title The Changing Real Estate Risk Premium: Comparative Evidence from the UK, Australia and USA
source 21st Annual European Real Estate Society Conference in Bucharest, Romania
summary The global financial crisis was a sharp shock to real estate markets and while interest rates and government bond yields fell in response around the world, real estate yields (cap rates) have risen. The objective of this paper is to analyse the gap between government bonds (index-linked and long dated) and real estate yields over time for the UK, Australia and the USA and determine whether there has been a structural break in this long term relationship. The statistical analysis, based on ARCH models, will identify previous structural breaks in these relationships. The absolute gap levels and their variation over time in the different countries is then linked to the theoretical reasons for the yield gap in terms of a risk premium and compared with the findings from earlier studies.
series ERES:conference
email C.A.Jones@hw.ac.uk
more http://library.eres.org/cgi-bin/rsa98.pl?conf=ERES2014&type=session&theme=G &slot=2670
discussion No discussions. Post discussion ...
ratings
session G : Market Research, Analysis & Forecasting
last changed 2014/10/21 21:51
HOMELOGIN (you are user _anon_784914 from group guest) Powered by SciX Open Publishing Services 1.002