Asset Management: Forecasting office cbd capital values

Jacob Oluwoye and Small R.s

ERES from European Real Estate Society (ERES)

Abstract: An important function of asset management is forecasting risks and returns. However, investment decisions are made on the basis of relative performance within an expected set of financial and economic conditions. The aim of this paper is to examine if a model could be developed to explain the relationship between capital values and financial variables of Sydney CBD office market performance. The time-series data between Dec-1984 - June 1998 was used to establishing the relationship. The results of the data analysis reveals that property capital values are positively correlated with 90-day bank bills (interest rates) and the one-year lagged risk-free return, represented by the real 10-yr. Government bond rates. The conditions in the stock market, proxies association. Annual Sydney inflation rate (CPI) is negatively correlated with property capital values, that is higher CPI prospect should result in falling property capital values. The paper concludes that the model may throw some light on a theoretical hypotheses, and also the results of the final model are consistent with the author expectation and are statistically acceptable.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2001-06-01
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2001_249

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