This paper develops the recent series of papers published in the Journal of Property Research on the market valuation of investment properties by contemporary approaches. In the previous papers, an arbitrage model has been developed and compared with the real value and short cut or modified DCF...

This paper examines house price diffusion with the Republic of Ireland and between the Republic and Northern Ireland. The results show that a large degree of diffusion takes place, particularly from Dublin to the other regions, in a manner that is similar and consistent with the UK ripple...

This paper re-examines the issue of property's role in a mixed asset portfolio. Using Irish data it expands on the existing literature by extending the universe of assets to include international equity and fixed income markets. The results show that property maintains a reasonably high...

This paper examines the impact of the collapse of Olympia & York on the performance of 42 UK property securities. Different event study methodologies are used to test for the presence of a contagion effect and intra-industry information transfers. While significant results are not obtained for...

The performance of a sample of real estate funds over the period 1989-2001 is analysed in order to assess the fund manager's selection and timing ability. In addition to conventional performance measures a number of alternative techniques are also used in order to overcome potential biases...

The study examines four alternative rental forecasting models in the context of the London office market. The forecasting ability of an ARIMA model, a Bayesian Vector Autoregression approach, an OLS based single equation model and a simultaneous equation model are compared and contrasted. The...

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...

Although financial theory rests heavily upon the assumption that asset returns are normally distributed, value indices of commercial real estate display significant departures from normality. In this paper, we apply and compare the properties of two recently proposed regime switching models for...