Duration has long been used as a means of managing the risk of bond portfolios. It has also been extended to the analysis of equities. Although it is often been compared with the half-life of an asset it is more correct to consider duration as the approximate percentage change in price for each one-percent change in yield. Given this view it will be seen that the volatility of an asset and its duration are closely related. This paper uses the duration of a conventional valuation model to estimate both the volatility and total risk of the each sector of the UK commercial property market relative to the property market as a whole. The approach has potential value in estimating the risk of a new property where historic time series information is either limited on not available. In addition, by drawing a distinction between ex-post and ex-ante measures of risk the paper also estimates the inflation flow through rate for different lease structures.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Contact details of provider: Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323 Email: Web page: http://www.aresnet.org/
Order Information: Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323 Email: Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm
For technical questions regarding this item, or to correct its listing, contact: (JRER Graduate Assistant/Webmaster).
Related research
Keywords:
Find related papers by JEL classification: 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.:
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.)