Spectral analysis of real estate and financial assets markets

Abstract

Understanding cyclical activity is an important component of efficient portfolio management. Property appraisal models that do not explicitly take into account cyclical fluctuations may produce unrealistic valuation estimates resulting in property assets being incorrectly added to or removed from the general investment portfolio. In this paper we use conventional spectral analysis techniques to examine property and financial assets for evidence of cycles and co‐cycles. One finding is that the very pronounced cyclical patterns that appear in direct real estate markets and the economy as a whole are very much less obvious once they have filtered through to securitised property markets and financial assets markets.

Citation

Wilson, P. and Okunev, J. (1999), "Spectral analysis of real estate and financial assets markets", Journal of Property Investment & Finance, Vol. 17 No. 1, pp. 61-74. https://doi.org/10.1108/14635789910252909