Regime Switching in the Real Estate Risk Premium

Patrick Wilson, John Okunev, Tiffany Hutcheson () and Ralf Zurbruegg

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: While a significant amount of research has been undertaken on the risk premium existing in stock markets, very few studies have evaluated the risk premium in property markets. This paper extends the research on risk premium to the market for securitised property in Australia, Japan, the UK and US. A dividend discount model is applied to model the ex ante risk premium implied from the information contained in the price of securitised property shares. A Markov regime-switching model is then used to determine whether changes in the risk premium lead to changes in market prices for these securities. The results show evidence of a cyclical pattern in the risk premium for the securitised property market that can be used by investors when deciding on the best time to buy or sell in this market.

Pages: 25 pages
Date: 2004-01-01
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Published as: Wilson, P.J., Okunev, J., Hutcheson, T.J. and Zurbruegg, R., 2004, "Regime switching in the real estate risk premium", Pacific Rim Property Research Journal, 10(2), 168-192.

Downloads: (external link)
https://www.tandfonline.com/doi/abs/10.1080/14445921.2004.11104159 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uts:ppaper:2004-4

Access Statistics for this paper

More papers in Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().