Constructing a Property Asset Quality Index Score: A Case Study using the Australian unlisted office sector wholesale property funds

Anthony De Francesco

ERES from European Real Estate Society (ERES)

Abstract: The conventional approach in evaluating investment risk is to examine time-series volatility across various performance or price measures relating to that investment. The property industry has also adopted a similar approach. While this approach seems appropriate when property portfolio structures are relatively stable and homogeneous over time, such an approach may not be useful when property portfolio structures are changing over time or in the case of star-ups investments where there is insufficient historical information.This paper proposes an alternative estimator of property risk called the Property Asset Quality Index Score. This index utilises various qualitative property portfolio information (risk factors) which include: asset location; asset quality; asset features; sustainability attributes; and asset amenities. This is essentially modelled within a hedonic framework. Having constructed the index, an empirical analysis is undertaken to evaluate its usefulness.

Keywords: Hedonic Modelling; Property portfolio risk; quaity risk factors (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2018-01-01
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