Another Look at the Relative Importance of Sectors and Regions in Determining Property Returns

Mark Andrew (), Steven Devaney () and Stephen Lee
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Steven Devaney: Department of Real Estate & Planning, University of Reading Business School

Real Estate & Planning Working Papers from Henley Business School, University of Reading

Abstract: This paper re-examines the relative importance of sector and regional effects in determining property returns. Using the largest property database currently available in the world, we decompose the returns on individual properties into a national effect, common to all properties, and a number of sector and regional factors. However, unlike previous studies, we categorise the individual property data into an ever-increasing number of property-types and regions, from a simple 3-by-3 classification, up to a 10 by 63 sector/region classification. In this way we can test the impact that a finer classification has on the sector and regional effects. We confirm the earlier findings of previous studies that sector-specific effects have a greater influence on property returns than regional effects. We also find that the impact of the sector effect is robust across different classifications of sectors and regions. Nonetheless, the more refined sector and regional partitions uncover some interesting sector and regional differences, which were obscured in previous studies. All of which has important implications for property portfolio construction and analysis.

Keywords: property returns; sector and regional effects; dummy regional regressions (search for similar items in EconPapers)
Pages: 25 pages
Date: 2003
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:rdg:repxwp:rep-wp2003-14

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