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Are property prices non-linear? An investigation of the behaviour of US REITs and UK property company shares

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Lizieri, C., Satchell, S., Worzala, E. and Dacco' , R., (1997) Are property prices non-linear? An investigation of the behaviour of US REITs and UK property company shares. Working Papers in Land Management & Development. 05/97. Working Paper. University of Reading, Reading. pp21.

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Abstract/Summary

Linear models of market performance may be misspecified if the market is subdivided into distinct regimes exhibiting different behaviour. Price movements in the US Real Estate Investment Trusts and UK Property Companies Markets are explored using a Threshold Autoregressive (TAR) model with regimes defined by the real rate of interest. In both US and UK markets, distinctive behaviour emerges, with the TAR model offering better predictive power than a more conventional linear autoregressive model. The research points to the possibility of developing trading rules to exploit the systematically different behaviour across regimes.

Item Type:Report (Working Paper)
Divisions:Henley Business School > Real Estate and Planning
ID Code:27223
Publisher:University of Reading
Publisher Statement:The copyright of each working paper remains with the author. If you wish to quote from or cite any paper please contact the appropriate author; in some cases a more recent version of the paper may have been published elsewhere.

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