Rationality and Momentum in Real Estate Investment Forecasts

Dimitrios Papastamos, Fotis Mouzakis and Simon Stevenson
Additional contact information
Dimitrios Papastamos: Eurobank EFG Property Services S.A.
Fotis Mouzakis: Frynon Consulting

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

Abstract: This study examines the rationality and momentum in forecasts for rental, capital value and total returns for the real estate investment market in the United Kingdom. In order to investigate if forecasters are affected by the general economic conditions present at the time of forecast we incorporate into the analysis Gross Domestic Product (GDP) and the Default Spread (DS). The empirical findings show high levels of momentum in the forecasts, with highly persistent forecast errors. The results also indicate that forecasters are affected by adverse conditions. This is consistent with the finding that they tend to exhibit greater forecast error when the property market is underperforming and vice-versa.

Keywords: Property Forecasts; Forecast Errors; Momentum; Bias; Efficiency (search for similar items in EconPapers)
JEL-codes: C10 C53 L80 (search for similar items in EconPapers)
Date: 2014-05
New Economics Papers: this item is included in nep-for
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http://centaur.reading.ac.uk/36851/1/wp0714.pdf (application/pdf)

Related works:
Working Paper: Rationality and Momentum in Real Estate Investment Forecasts (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:rdg:repxwp:rep-wp2014-07

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