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Article
Publication date: 1 March 1996

Andrew Baum, Neil Crosby and Bryan MacGregor

Responds to “A note on ‘The initial yield revealed: explicit valuations and the future of property investment’” published in an earlier issue of the Journal of Property

Abstract

Responds to “A note on ‘The initial yield revealed: explicit valuations and the future of property investment’” published in an earlier issue of the Journal of Property Valuation & Investment. Addresses issues raised and develops and extends the organizations of the original paper, in particular: definitions of certain concepts; the determination of value; the need for explicit valuations; price formation in the property market; and the influence of valuation on price. Reiterates the purposes of the original worked example of valuations; produces a corrected version; and in an appendix presents extended solutions and a fuller discussion of the central issues.

Details

Journal of Property Valuation and Investment, vol. 14 no. 1
Type: Research Article
ISSN: 0960-2712

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Article
Publication date: 1 December 1996

Alastair Adair, Norman Hutchison, Bryan MacGregor, Stanley McGreal and Nanda Nanthakumaran

Addresses the issue of valuation variation. The fundamental research question is to establish the range of valuations which a group of qualified valuers operating in the…

Abstract

Addresses the issue of valuation variation. The fundamental research question is to establish the range of valuations which a group of qualified valuers operating in the same market and using the same basic assumptions would produce in their estimation of price. It significantly extends the approach adopted by Hager and Lord and draws conclusions about different market sectors, locations and size of firms. The results of the survey show a wide variation in value across both rack rented and reversionary interests. In terms of the former over 80 per cent of all valuations produced a variation from the mean of less than 20 per cent with a corresponding figure of over 90 per cent for the reversionary investments. These levels of accuracy fall short of the contention that valuers can value to within 5‐10 per cent of market value.

Details

Journal of Property Valuation and Investment, vol. 14 no. 5
Type: Research Article
ISSN: 0960-2712

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Article
Publication date: 1 April 1992

Andrew E. Baum and Bryan D. MacGregor

Starts from the basic principles of property investment and showsthat the initial yield conceals estimates of a risk premium, expectedincome growth and expected…

Abstract

Starts from the basic principles of property investment and shows that the initial yield conceals estimates of a risk premium, expected income growth and expected depreciation. Suggests that an explicit valuation procedure which can be used at any level ranging from a single property to the aggregate market may be constructed. Concludes that the surveying profession is under threat from those able to meet the growing demand for such explicit analyses.

Details

Journal of Property Valuation and Investment, vol. 10 no. 4
Type: Research Article
ISSN: 0960-2712

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Article
Publication date: 1 March 1990

Bryan D. MacGregor

Considers the role of property in a multi‐asset portfolio andhighlights the need for property to be subject to the same analyticalframework as other assets in the…

Abstract

Considers the role of property in a multi‐asset portfolio and highlights the need for property to be subject to the same analytical framework as other assets in the portfolio. Discusses the principles of portfolio construction, consisting of development of economic scenarios; forecasts of return on asset classes; asset allocation and portfolio construction; and stock selection. Sets out a strategic framework for the construction of a property portfolio, which involves an explicit consideration of risk and return relative to an appropriate benchmark. States that both the structure and stock of the fund need to be considered. Suggests that most of the published work on the subject is seriously flawed by inadequate data.

Details

Journal of Valuation, vol. 8 no. 3
Type: Research Article
ISSN: 0263-7480

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Article
Publication date: 1 September 1995

Piet M.A. Eichholtz, Martin Hoesli, Bryan D. MacGregor and Nanda Nanthakumaran

Analyses data from the USA and UK to determine whetherdiversification within a region by property type is better thandiversification between regions within a property…

Abstract

Analyses data from the USA and UK to determine whether diversification within a region by property type is better than diversification between regions within a property type. Compares both strategies to full diversification by both property type and region. Calculates and compares property type and regional correlation matrices. Produces efficient frontiers and calculates principal components to determine if there are dominant property type or regional dimensions to real estate returns. Suggests that for the USA a purely retail portfolio diversified over all regions would have been almost as effective as a fully diversified portfolio. In the UK, there is less diversity across regions within retail property. Overall, there is no simple conclusion applicable to all regions and all property types in either country.

Details

Journal of Property Finance, vol. 6 no. 3
Type: Research Article
ISSN: 0958-868X

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Article
Publication date: 1 March 1996

George Matysiak, Martin Hoesli, Bryan MacGregor and Nanda Nanthakumaran

Based on a multivariate analysis of long‐term total returns and inflation data over the period 1963‐1993, shows that commercial property total returns reflect both…

Abstract

Based on a multivariate analysis of long‐term total returns and inflation data over the period 1963‐1993, shows that commercial property total returns reflect both expected and unexpected components of inflation in the long term. There is no evidence that property returns systematically provide, on an annual basis, hedging characteristics against either of these components.

Details

Journal of Property Finance, vol. 7 no. 1
Type: Research Article
ISSN: 0958-868X

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Article
Publication date: 1 December 2001

Seow Eng Ong, Joseph Ooi and Nyuk Hien Wong

This study examines the issue of cross‐continental publishing in real estate research to understand the research interaction between the two major English‐speaking…

Abstract

This study examines the issue of cross‐continental publishing in real estate research to understand the research interaction between the two major English‐speaking countries and to determine if a home bias exists. This study also determines the extent to which authors from other countries publish in US and UK journals, and provide a ranking of non‐US universities and authors. The survey of top US and UK real estate journals from 1993 through 1998 reveals that a home bias exists. The home bias concentration is higher in US journals than in UK journals, while UK journals exhibit more balanced origins, emanating not only from the USA/Canada, but also from Australia, New Zealand and Asia. In addition, the study reveals that the Universities of Reading, Ulster and Glasgow are well placed among European universities, while the National University of Singapore ranks well in Asia. Top US researchers tend to publish exclusively in US journals; likewise the same is observed for UK researchers. However, some notable exceptions are observed. Finally, a possible reason for the home bias could be the different research approaches undertaken by US and UK journals.

Details

Journal of Property Investment & Finance, vol. 19 no. 6
Type: Research Article
ISSN: 1463-578X

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Article
Publication date: 25 February 2014

Patrick Lecomte

The paper aims to conduct an empirical study of three models of property derivatives: index-based derivatives, factor hedges, and combinative hedges based on index and…

Abstract

Purpose

The paper aims to conduct an empirical study of three models of property derivatives: index-based derivatives, factor hedges, and combinative hedges based on index and factors. The objective is to test whether the latter two models introduced by Lecomte dominate the index-based model used for existing property derivatives such as EUREX futures contracts.

Design/methodology/approach

Based on investment property database (IPD) historical database covering 224 individual office properties from 1981 to 2007, the study assesses ex ante hedging effectiveness of the three models. Nine simulations are run under different hypotheses involving individual buildings and portfolios. The 17 factors included in the study cover both macro-factors (e.g. macroeconomic indicators) and micro-factors linked to the properties (e.g. age).

Findings

Atomization and periodic rebalancing of property derivatives' underlying make it possible to substantially increase hedging effectiveness for a large majority of buildings in the sample. However, combinative hedges are overall superior to factor hedges owing to the overriding role played by IPD indices in capturing risk.

Research limitations/implications

Due to confidentiality requirements inherent to the use of property level data, the study downplays the role of micro-factors on real estate risk at the property level.

Practical implications

The paper introduces a typology of optimal hedges aimed at individual property owners and portfolio holders in the City office property market.

Originality/value

This is the first time a comprehensive analysis of different models of property derivatives is conducted. The value of the paper stems from the use of property level data.

Details

Journal of Property Investment & Finance, vol. 32 no. 2
Type: Research Article
ISSN: 1463-578X

Keywords

Content available
Book part
Publication date: 30 April 2018

George R. Goethals

Abstract

Details

Realignment, Region, and Race
Type: Book
ISBN: 978-1-78743-791-3

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Article
Publication date: 1 June 1984

Edward Pryor and Son Ltd., the Sheffield‐based specialists in marking machines and equipment for a wide range of applications, has appointed John Tissiman as Managing Director.

Abstract

Edward Pryor and Son Ltd., the Sheffield‐based specialists in marking machines and equipment for a wide range of applications, has appointed John Tissiman as Managing Director.

Details

Aircraft Engineering and Aerospace Technology, vol. 56 no. 6
Type: Research Article
ISSN: 0002-2667

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