Pricing risk and its use in modelling real estate market yields

IF 1.6 Q3 BUSINESS, FINANCE
T. McGough, J. Berry
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引用次数: 4

Abstract

In the light of past financial and economic turmoil, there has been a marked increase in the volatility in real estate markets. This has impacted on the pricing of property assets, partly through market sentiment and particularly concerning risk. It also limits modelling accuracy model accuracy. The purpose of this paper is to create a new variable and model to enhance analysis of what drives real estate yields incorporating market sentiment to risk.,This paper specifically considers the modelling of property pricing within a volatile economic environment. The theoretical context begins by analysing the relationship between property yields and government bonds. The analytical context then moves on to specifically include a measurement of risk which stresses its role and importance in investment markets since the Global Financial Crisis. The model thus incorporates macroeconomic and real estate data, together with an international risk multiplier, which is calculated within the paper.,The paper finds the use of measurements of market sentiment and risk are more powerful tools for modelling yields than previous techniques alone.,This is an initial paper outlining the creation of sentiment and risk measurements in the financial market and showing an example of its application to a commercial real estate market. The implication is that this could add a major new explanatory variable to modelling of yields.,The paper highlights the importance of risk in the pricing of commercial real estate, over and above normal variables. It highlights how this can help explain over and undershooting of yields within commercial real estate which would be of great importance in the investment world.,This paper attempts to explicitly measure market sentiment, pricing of risk and how this impacts real estate pricing.
定价风险及其在房地产市场收益率建模中的应用
鉴于过去的金融和经济动荡,房地产市场的波动性明显增加。这在一定程度上影响了房地产资产的定价,尤其是通过市场情绪和对风险的担忧。这也限制了建模精度。本文的目的是创建一个新的变量和模型,以加强分析是什么驱动房地产收益率纳入市场情绪风险。本文特别考虑了不稳定经济环境下的房地产定价模型。本文的理论背景首先是分析房地产收益率与政府债券之间的关系。分析的背景,然后移动到具体包括风险的衡量,强调其在投资市场的作用和重要性,因为全球金融危机。因此,该模型结合了宏观经济和房地产数据,以及在本文中计算的国际风险乘数。本文发现,使用市场情绪和风险的测量是建模收益率比以前单独的技术更强大的工具。这是一篇初步的论文,概述了金融市场中情绪和风险度量的产生,并展示了其应用于商业房地产市场的一个例子。其含义是,这可能为产量模型增加一个新的主要解释变量。本文强调了风险在商业地产定价中的重要性,超出了正常变量。它强调了这如何有助于解释商业房地产收益率过高或过低的现象,这在投资界将是非常重要的。本文试图明确衡量市场情绪、风险定价及其对房地产定价的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
3.50
自引率
23.10%
发文量
33
期刊介绍: Fully refereed papers on practice and methodology in the UK, continental Western Europe, emerging markets of Eastern Europe, China, Australasia, Africa and the USA, in the following areas: ■Academic papers on the latest research, thinking and developments ■Law reports assessing new legislation ■Market data for a comprehensive review of current research ■Practice papers - a forum for the exchange of ideas and experiences
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