Optimal Holding Period for a Real Estate Portfolio
This paper considers the use of simulated cash flows to determine the optimal holding period of a real estate portfolio to maximize its present value. The traditional DCF approach with an estimation of the resale value through a growth rate of the future cash flow does not let appear this optimum. However, if the terminal value is calculated from the trend of a diffusion process of the price, an optimum may appear under certain conditions. Finally we consider the sensitivity of the present value to the different parameters involved in the cash flow estimations.
|Date of creation:||Apr 2007|
|Date of revision:|
|Contact details of provider:|| Postal: ESSEC Research Center, BP 105, 95021 Cergy, France|
Web page: http://www.essec.edu/
More information through EDIRC
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.:
- M. Baroni & F. Barthélémy & M. Mokrane, 2004.
"Physical Real Estate: A Paris Repeat Sales Residential Index,"
THEMA Working Papers
2004-17, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- M. Baroni & F. Barthélémy & M. Mokrane, 2004. "Physical Real Estate. A Paris Repeat Sales Residential Index," ERES eres2004-105, European Real Estate Society (ERES).
- Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi, 2004. "Physical Real Estate: A Paris Repeat Sales Residential Index," ESSEC Working Papers DR 04007, ESSEC Research Center, ESSEC Business School.
- Patric H. Hendershott & David C. Ling, 1984.
"Prospective Changes in Tax Law and the Value of Depreciable Real Estate,"
NBER Working Papers
1352, National Bureau of Economic Research, Inc.
- 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.
- Atkins, Allen B & Dyl, Edward A, 1997. " Transactions Costs and Holding Periods for Common Stocks," Journal of Finance, American Finance Association, vol. 52(1), pages 309-25, March.
- Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
- Gau, George W & Wang, Ko, 1994. "The Tax-Induced Holding Periods of Real Estate Investors: Theory and Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 8(1), pages 71-85, January.
- Seha M. Tinic, 1972. "The Economics of Liquidity Services," The Quarterly Journal of Economics, Oxford University Press, vol. 86(1), pages 79-93.
- Martin Hoesli & Elion Jani & André Bender, 2005. "Monte Carlo Simulations for Real Estate Valuation," FAME Research Paper Series rp148, International Center for Financial Asset Management and Engineering.
When requesting a correction, please mention this item's handle: RePEc:ebg:essewp:dr-07008. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sophie Magnanou)
If references are entirely missing, you can add them using this form.