IDEAS home Printed from https://ideas.repec.org/a/taf/jpropr/v34y2017i2p77-107.html
   My bibliography  Save this article

Leverage, liquidity and information in commercial property prices

Author

Listed:
  • Jonathan A. Wiley

Abstract

Transactions volume and property cash flows appear to have little, if any, predictive value for commercial property price appreciation in the US during 2001 to mid-2015. Price appreciation is predicted by both credit tightening and the market share of highly active investors. Buyer composition (introduced by this study) appears to proxy informational content in the transactions market, as trading patterns for highly active investors are consistent with those possessing informational advantages. Underwriting restrictiveness adversely affects asset prices. Apart from buyer composition and credit policy, aggregate price movement appears largely produced by cycles of investment momentum rather than cycles in commercial property fundamentals.

Suggested Citation

  • Jonathan A. Wiley, 2017. "Leverage, liquidity and information in commercial property prices," Journal of Property Research, Taylor & Francis Journals, vol. 34(2), pages 77-107, April.
    • Handle: RePEc:taf:jpropr:v:34:y:2017:i:2:p:77-107
    DOI: 10.1080/09599916.2017.1320683
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/09599916.2017.1320683
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09599916.2017.1320683?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. repec:arz:wpaper:eres2007-322 is not listed on IDEAS
    2. Henry Pollakowski & David Geltner, 2007. "A Set of Indexes for Trading Commercial Real Estate Based on the Real Capital Analytics Transaction Prices Database," ERES eres2007_322, European Real Estate Society (ERES).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Usman Hamza & Lizam Mohd & Burhan Burhaida, 2021. "A Priori Spatial Segmentation of Commercial Property Market using Hedonic Price Modelling," Real Estate Management and Valuation, Sciendo, vol. 29(2), pages 16-28, June.
    2. Thomas Paul & Thomas Walther & André Küster-Simic, 2022. "Empirical analysis of the illiquidity premia of German real estate securities," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 203-260, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lucey, Brian M. & Devine, Liam, 2015. "Was wine a premier cru investment?," Research in International Business and Finance, Elsevier, vol. 34(C), pages 33-51.
    2. Chihiro Shimizu & W. Erwin Diewert & Kiyohiko G. Nishimura & Tsutomu Watanabe, 2015. "Estimating quality adjusted commercial property price indexes using Japanese REIT data," Journal of Property Research, Taylor & Francis Journals, vol. 32(3), pages 217-239, September.
    3. Odilon Costa & Wesley Mendes-da-Silva, 2016. "The Recent Slowdown in Sao Paulo’s Office Market: A Comparison of Hedonic Indices," LARES lares-16-costa_therecent_, Latin American Real Estate Society (LARES).
    4. Robert J. Shiller, 2008. "Derivatives Markets for Home Prices," Cowles Foundation Discussion Papers 1648, Cowles Foundation for Research in Economics, Yale University.
    5. Mick Silver & Brian Graf, 2014. "Commercial Property Price Indexes: Problems of Sparse Data, Spatial Spillovers, and Weighting," IMF Working Papers 2014/072, International Monetary Fund.
    6. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2012. "A Pricing Framework for Real Estate Derivatives," European Financial Management, European Financial Management Association, vol. 18(5), pages 762-789, November.
    7. Carini Manuela & Ciuna Marina & De Ruggiero Manuela & Salvo Francesca & Simonotti Marco, 2017. "Repeat Assessed Values Model for Housing Price Index," Real Estate Management and Valuation, Sciendo, vol. 25(4), pages 25-39, December.
    8. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
    9. Andrea Chegut & Piet Eichholtz & Paulo Rodrigues, 2015. "Spatial Dependence in International Office Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 317-350, August.
    10. Peter Chinloy & William Hardin & Zhonghua Wu, 2013. "Transaction Frequency and Commercial Property," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 640-658, November.
    11. Andrea Chegut & Piet Eichholtz & Paulo Rodrigues, 2013. "The London Commercial Property Price Index," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 588-616, November.
    12. Eduardo Fernandes Cazassa & Odilon Costa, 2017. "Real Estate Indices: the good and the bad," LARES lares_2017_paper_65, Latin American Real Estate Society (LARES).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jpropr:v:34:y:2017:i:2:p:77-107. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RJPR20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.