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Econometric Integration of Real Estate's Space and Capital Markets

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Author Info
Timothy W. Viezer () (School Employees Retirement Sustem of Ohio Columbus, OH 43215)
Abstract

This study presents the Real Estate Econometric Forecast Model (REEFM), a pooled recursive system that integrates real estate’s space and capital markets. The REEFM is empirically estimated using data from fifty-one metropolitan office markets over the years 1985–96. The core of the REEFM consists of six stochastic equations for each property type. These six equations predict occupancy, real rents, capitalization rates, market value per square foot, net change in stock and real construction costs. The model also produces synthetic investment return series called Implied Market Returns that can be used to guide investment acquisition activity and assess the representativeness of other investment returns.

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File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol18n03/v18p503.pdf
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Publisher Info
Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

Volume (Year): 18 (1999)
Issue (Month): 3 ()
Pages: 503-519
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:jre:issued:v:18:n:3:1999:p:503-519

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Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. William C. Wheaton & Raymond G. Torto, 1990. "An Investment Model of the Demand and Supply For Industrial Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 530-547. [Downloadable!] (restricted)
  2. Patric H. Hendershott & David C. Ling, 1984. "Prospective Changes in Tax Law and the Value of Depreciable Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 297-317. [Downloadable!] (restricted)
  3. John L. Glascock & Shirin Jahanian & C. F. Sirmans, 1990. "An Analysis of Office Market Rents: Some Empirical Evidence," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(1), pages 105-119. [Downloadable!] (restricted)
  4. Smith, Lawrence B, 1974. "A Note on the Price Adjustment Mechanism for Rental Housing," American Economic Review, American Economic Association, vol. 64(3), pages 478-81, June. [Downloadable!] (restricted)
  5. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July. [Downloadable!] (restricted)
  6. John S. Hekman, 1985. "Rental Price Adjustment and Investment in the Office Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(1), pages 32-47. [Downloadable!] (restricted)
  7. Stuart A. Gabriel & Frank E. Nothaft, 1988. "Rental Housing Markets and the Natural Vacancy Rate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 16(4), pages 419-429. [Downloadable!] (restricted)
  8. Graff, Richard A & Young, Michael S, 1996. "Real Estate Return Correlations: Real-World Limitations on Relationships Inferred from NCREIF Data," The Journal of Real Estate Finance and Economics, Springer, vol. 13(2), pages 121-42, September.
  9. Geltner, David & Mei, Jianping, 1995. "The Present Value Model with Time-Varying Discount Rates: Implications for Commercial Property Valuation and Investment Decisions," The Journal of Real Estate Finance and Economics, Springer, vol. 11(2), pages 119-35, September.
  10. Denise DiPasquale & William C. Wheaton, 1992. "The Markets for Real Estate Assets and Space: A Conceptual Framework," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(2), pages 181-198. [Downloadable!] (restricted)
  11. David Guilkey & Mike Miles & Rebel Cole, 1989. "The Motivation for Institutional Real Estate Sales and Implications for Asset Class Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(1), pages 70-86. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Fuerst, Franz, 2006. "Predictable or Not? Forecasting Office Markets with a Simultaneous Equation Approach," MPRA Paper 5262, University Library of Munich, Germany. [Downloadable!]
  2. Franz Fuerst, 2004. "Forecasting the Manhattan office market with a simultaneous equation model," Urban/Regional 0410006, EconWPA. [Downloadable!]
  3. Patric H. Hendershott & Bryan D. MacGregor, 2003. "Investor Rationality: Evidence from UK Property Capitalization Rates," NBER Working Papers 9894, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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