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- W66262312 abstract "The estimation of real estate investment risk has gained much importance over recent years. A performance and risk measurement is necessary due to heterogeneity and infrequent trading of real estate assets. This thesis presents a methodology for constructing a performance measure for real estate capital value movements. The technique infers how valuers would have dealt with available market information, basing the current valuation on contemporaneous prime market information and lagged appraised values. The method referred to as ‘resmoothing’ constructs a capital growth series for European office markets (1990-2008). Applying cluster analysis to the dataset suggests dividing the European office markets into 6-8 risk clusters with strong geographic concentration. PCA and cointegration tests identify 14 macroeconomic and financial factors that systematically affect office capital growth. Real estate should be regarded as a distinct asset class as the factors defer from those for equity and bonds" @default.
- W66262312 created "2016-06-24" @default.
- W66262312 creator A5081603238 @default.
- W66262312 date "2009-01-01" @default.
- W66262312 modified "2023-10-03" @default.
- W66262312 title "Systematic and unsystematic risk in european office markets : Deriving models for performance and risk measurement in real estate" @default.
- W66262312 hasPublicationYear "2009" @default.
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