This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick Prescott filter is employed to fit a long‐term trend to the raw data, and to derive the short‐term cycles of each...

The performance of various statistical models and commonly used financial indicators for forecasting securitised real estate returns are examined for five European countries: the UK, Belgium, the Netherlands, France and Italy. Within a VAR framework, it is demonstrated that the gilt-equity yield...

This paper employs a vector autoregressive model to investigate the impact of macroeconomic and financial variables on a UK real estate return series. The results indicate that unexpected inflation, and the interest rate term spread have explanatory powers for the property market. However, the...

Purpose: After the Global Financial Crisis in 2008, the impact of expanded liquidity in the financial market has drawn attention. The purpose of this paper is to examine the relationship between liquidity in financial markets and office markets across Asian countries. In particular, the...

The aim of this paper is to forecast the office property returns in Helsinki CBD using both short‐run and long‐run econometric specifications. Real economy, monetary and financial market indicators are included in these specifications to explain the variation in office property returns and...

This paper looks at the application of economic and financial series in forecasting IPD monthly rental series. The approach follows that employed in classical business cycle work that seeks to decompose series into trend, cyclical and noise components and is the first time that it has been...

Purpose – Property performance indices have invariably focused upon prime markets with a variety of approaches used to measure investment returns. However, there is relatively little knowledge regarding the investment performance of property in regeneration areas. Indeed, there is a perception...

Purpose – This paper is an attempt to bridge the gap between, on the one hand, the mobility behaviour of households and their perception of accessibility to urban amenities and, on the other hand, house price dynamics as captured through hedonic modelling. Design/methodology/approach – In...

Purpose – Aims to investigate the long‐run and short‐term relationships among four Asian property stock markets of Japan, Hong Kong, Singapore and Malaysia; and four European property stock markets of UK, France, Germany and Italy. Additionally, aims to examine the relationships between...

Purpose – Valuation is the process of estimating price. The methods used to determine value attempt to model the thought processes of the market and thus estimate price by reference to observed historic data. This information is utilised in the discounted cash flow (DCF) valuation model to...