Forecasting real estate returns using financial spreads

Forecasting real estate returns using financial spreads

This paper examines the predictability of real estate asset returns using a number of time series techniques. A vector autoregressive model, which incorporates financial spreads, is able to improve upon the out of sample forecasting performance of univariate time series models at a short forecasting horizon. However, as the forecasting horizon increases, the explanatory power of such models is ...

Forecasting for Financial Stock Returns Using a Quantile Function Model

In this talk, we introduce a newly developed quantile function model that can be used for estimating conditional distributions of financial returns and for obtaining multi-step ahead out-of-sample predictive distributions of financial returns. Since we forecast the whole conditional distributions, any predictive quantity of interest about the future financial returns can be obtained simply as a...

What factors determine international real estate security returns ?

In this paper, we use constrained cross-section regressions to disentangle the effects of various factors on real estate security returns in 21 countries. A better knowledge of the risk factors driving real estate returns is crucial, whether a pure real estate portfolio is constructed, or whether real estate is considered as an alternative asset class within the traditional stock portfolio. Bes...

Paper 2: Coskewness in European Real Estate Equity Returns

Structure Depreciation and Returns to Scale of Real Estate∗

This study analyzes the real estate production function and economic depreciation of structures by using data from Japan and the U.S. Real estate exhibits decreasing returns in the U.S. but constant returns in Japan. Land and structures are substitutes in both countries. The property depreciation rate is larger for newer and denser properties located away from the Central Business District (CBD...