Time series modelling of real estate prices

Hiroshi Ishijima and Akira Maeda

Global Business and Economics Review, 2014, vol. 16, issue 1, 26-45

Abstract: As real estate and financial asset markets are now merging, we need a theoretical foundation for analysis of real estate investments in conjunction with both domestic and international financial investments. This study presents a methodology for evaluating real estate values. Specifically, we extend a classical hedonic model to a sophisticated one that allows us to generate 'implied' capital returns on real estate and to estimate risks and returns on real estate investments. The results of our theory and statistical analysis here highlight the role of real estate investments in contrast to that of financial securities.

Keywords: real estate prices; rate of return; time series modelling; empirical analysis; financial investment; real estate investment; implied capital returns; risk assessment; financial securities. (search for similar items in EconPapers)
Date: 2014
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