Regime switching in the real estate risk premium

Wilson, P; Okunev, J; Hutcheson, T; Zurbruegg, R

Regime switching in the real estate risk premium

Wilson, P Okunev, J Hutcheson, T Zurbruegg, R

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Publication Type:: Journal Article
Citation:: Pacific Rim Property Research Journal, 2004, 10 (2), pp. 168 - 192
Issue Date:: 2004-01-01

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Field	Value	Language
dc.contributor.author	Wilson, P	en_US
dc.contributor.author	Okunev, J	en_US
dc.contributor.author	Hutcheson, T	en_US
dc.contributor.author	Zurbruegg, R	en_US
dc.date.issued	2004-01-01	en_US
dc.identifier.citation	Pacific Rim Property Research Journal, 2004, 10 (2), pp. 168 - 192	en_US
dc.identifier.issn	1444-5921	en_US
dc.identifier.uri	http://hdl.handle.net/10453/6467
dc.description.abstract	While a significant amount of research has been undertaken on the risk premium existing in stock markets, very few studies have evaluated the risk premium in property markets. This paper extends the research on risk premium to the market for securitised property in Australia, Japan, the UK and US. A dividend discount model is applied to model the ex ante risk premium implied from the information contained in the price of securitised property shares. A Markov regime-switching model is then used to determine whether changes in the risk premium lead to changes in market prices for these securities. The results show evidence of a cyclical pattern in the risk premium for the securitised property market that can be used by investors when deciding on the best time to buy or sell in this market. © 2004 Taylor and Francis Group LLC.	en_US
dc.relation.ispartof	Pacific Rim Property Research Journal	en_US
dc.relation.isbasedon	10.1080/14445921.2004.11104159	en_US
dc.title	Regime switching in the real estate risk premium	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	10	en_US
utslib.for	1504 Commercial Services	en_US
utslib.for	12 Built Environment and Design	en_US
utslib.for	14 Economics	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
dc.location.activity	New Orleans, LA
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	open_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	10	en_US

Abstract:

While a significant amount of research has been undertaken on the risk premium existing in stock markets, very few studies have evaluated the risk premium in property markets. This paper extends the research on risk premium to the market for securitised property in Australia, Japan, the UK and US. A dividend discount model is applied to model the ex ante risk premium implied from the information contained in the price of securitised property shares. A Markov regime-switching model is then used to determine whether changes in the risk premium lead to changes in market prices for these securities. The results show evidence of a cyclical pattern in the risk premium for the securitised property market that can be used by investors when deciding on the best time to buy or sell in this market. © 2004 Taylor and Francis Group LLC.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/6467