The application of real options theory to commercial real estate has developed rapidly during the last 15 Years. In particular, several pricing models have been applied to value real options embedded in development projects. In this study we use a case study of a mixed-use development scheme and...

Previous research has focused on the link between returns in the REIT industry, the stock market and the housing market. However, none, so far, have examined the possibility of bubble spillovers from either of the markets to the securitised real estate market. In this paper, we test for the...

ERES:conference

We examine the residential property market in the United States during the period 1960?2009, focusing on the long run relationship between house prices and rents. Using a Markov regime switching model, we find that a structural break occurred in the price-rent ratio series in 1998, which may...

This paper examines the dynamics of the residential property market in the United States between 1960 and 2011. Given the cyclicality and apparent overvaluation of the market over this period, we determine whether deviations of real estate prices from their fundamentals were caused by the...

This paper examines the impact of changes in the composition of real estate stock indices, considering companies both joining and leaving the indices. Stocks that are newly included not only see a short-term increase in their share price, but trading volumes increase in a permanent fashion...

This paper uses a regime switching approach to determine whether prices in the stock, direct real estate and indirect real estate markets are driven by the presence of speculative bubbles. The results show significant evidence of the existence of periodically partially collapsing speculative...

ERES:conference

ERES:conference

Industrial or commercial tenancies incur costs to the tenant which are both directly and inversely related to the length of the tenancy. From optimisation theory, the result of this is that there is a unique optimum tenancy length for each tenant at each location, and tenants will be willing to...