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Paper eres2015_207:
The determinants of historical property market risk premium in the London office market

id eres2015_207
authors Blasi, Pau; Alain Cohen; Arnaud Simon
year 2015
title The determinants of historical property market risk premium in the London office market
source 22nd Annual European Real Estate Society Conference in Istanbul, Turkey
summary The goal of this paper is to get a better understanding of what are the determinants of historical property market risk premium in the London office market, and how these historical risk factors vary through the cycle, therefore affecting market performances. For this purpose we assembled different data series covering the Q2 2001 to Q2 2014 period. Using the main drivers of the economy and both the financial and property market we demonstrate empirically that the risk premium (defined as the difference between the Office Total Return and the 10-year Gilt Yield) reacts positively with increases in the net absorption or prime rents. On the other hand, it reacts negatively with increases in net additions or average net initial yields.
keywords risk premium, risk factors, London office market
series ERES:conference
type paper session
email pau.blasi@bnpparibas.com
discussion No discussions. Post discussion ...
ratings
session Doctoral Presentation
last changed 2015/07/08 18:06
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