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Agreement and Accuracy in Consensus Forecasts of the UK Commercial Property Market

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  • Patrick Mcallister
  • Graeme Newell
  • George Matysiak

Abstract

Property forecasts are an integral part of the property investment process at the strategic, tactical and individual asset levels. This study investigates the nature, extent and patterns of disagreement and uncertainty in the forecasts of UK property investors and their advisors. In this paper, the Investment Property Forum's consensus forecasts from 1999--2004 are analysed. The study finds that property forecasting organizations tend to exhibit the characteristics of a consensus, potentially indicating a herding bias among forecasting organizations. Given high levels of agreement and high levels of error in the consensus forecasts, uncertainty in the property forecasts of the individual organizations seem to be primarily generated by common factors rather than by the individual forecasting organization itself. This is not a unique feature of property market forecasters as non‐property forecasters display similar patterns. A key source of uncertainty in the property market forecasts of capital and total returns seems to have been due to problems of forecasting yield shifts. The analysis suggests that there are inefficiencies in property market forecasts.

Suggested Citation

  • Patrick Mcallister & Graeme Newell & George Matysiak, 2008. "Agreement and Accuracy in Consensus Forecasts of the UK Commercial Property Market," Journal of Property Research, Taylor & Francis Journals, vol. 25(1), pages 1-22, June.
  • Handle: RePEc:taf:jpropr:v:25:y:2008:i:1:p:1-22
    DOI: 10.1080/09599910802397040
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    File URL: http://hdl.handle.net/10.1080/09599910802397040
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    References listed on IDEAS

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    1. N. Gregory Mankiw & Ricardo Reis & Justin Wolfers, 2004. "Disagreement about Inflation Expectations," NBER Chapters,in: NBER Macroeconomics Annual 2003, Volume 18, pages 209-270 National Bureau of Economic Research, Inc.
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    Cited by:

    1. Papastamos, Dimitrios & Matysiak, George & Stevenson, Simon, 2015. "Assessing the accuracy and dispersion of real estate investment forecasts," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 141-152.
    2. Post, Thomas & Hanewald, Katja, 2013. "Longevity risk, subjective survival expectations, and individual saving behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 86(C), pages 200-220.
    3. Dimitrios Papastamos & Fotis Mouzakis & Simon Stevenson, 2014. "Rationality and Momentum in Real Estate Investment Forecasts," Real Estate & Planning Working Papers rep-wp2014-07, Henley Business School, Reading University.
    4. Dimitrios Papastamos & George Matysiak & Simon Stevenson, 2014. "A Comparative Analysis of the Accuracy and Uncertainty in Real Estate and Macroeconomic Forecasts," Real Estate & Planning Working Papers rep-wp2014-06, Henley Business School, Reading University.
    5. Erik Louw, 2011. "Surveys and forecasting industrial property demand," ERES eres2011_217, European Real Estate Society (ERES).

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