Accessibility navigation


Forecasting real estate returns using financial spreads

Brooks, C. and Tsolacos, S. (2001) Forecasting real estate returns using financial spreads. Journal of Property Research, 18 (3). pp. 235-248. ISSN 1466-4453

[img]
Preview
Text - Accepted Version
· Please see our End User Agreement before downloading.

176kB

To link to this item DOI: 10.1080/09599910110060037

Abstract/Summary

This paper examines the predictability of real estate asset returns using a number of time series techniques. A vector autoregressive model, which incorporates financial spreads, is able to improve upon the out of sample forecasting performance of univariate time series models at a short forecasting horizon. However, as the forecasting horizon increases, the explanatory power of such models is reduced, so that returns on real estate assets are best forecast using the long term mean of the series. In the case of indirect property returns, such short-term forecasts can be turned into a trading rule that can generate excess returns over a buy-and-hold strategy gross of transactions costs, although none of the trading rules developed could cover the associated transactions costs. It is therefore concluded that such forecastability is entirely consistent with stock market efficiency.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:35970
Publisher:Routledge

Downloads

Downloads per month over past year

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation