Show simple item record

dc.contributor.authorDrouhin, Pierre-Arnaud*
dc.contributor.authorSimon, Arnaud*
dc.date.accessioned2014-07-01T07:55:26Z
dc.date.available2014-07-01T07:55:26Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13628
dc.language.isoenen
dc.subjectAppraisal based indexen
dc.subjectForward curveen
dc.subjectGranger causalityen
dc.subjectReal estate swapen
dc.subjectDerivatives
dc.subjectReal Estate
dc.subjectStock Market
dc.subject.ddc333en
dc.subject.classificationjelC.C1.C15en
dc.subject.classificationjelD.D4.D49en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelL.L1.L11
dc.subject.classificationjelR.R3.R30
dc.titleAre property derivatives a leading indicator of the real estate market?en
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenPurpose – This paper aims to analyze the statistical characteristics of changes in property forward prices. As highlighted in a survey conducted at the MIT Center for Real Estate in 2006, the relatively weak understanding in their prices is one of the most important barriers in their use. In this context, the analysis of the forward price term structure is essential. Do the short- and long-term forward prices behave similarly? Do property derivatives behave like other derivative assets or other related assets? This study also investigates the lead–lag relationship between spot and forward returns for different maturities. Design/methodology/approach – Using four years and nine months of data on the UK Investment Property Databank (IPD), all property total return swaps are examined. We strip the swaps into their forwards and study their statistical characteristics (the first four moments and their autocorrelation levels). The relationships among the forward contracts, the underlying asset (IPD index and IPD unsmoothed) and other assets (risk-free rate, listed real estate) are explored. Using the Yiu et al. (2005) methodology, the lead–lag relationship between the spot and the forwards is assessed. Findings – The index appears to be significantly less volatile and less efficient, in terms of correlation than its own derivative contracts. Moreover, changes in forward prices are leading indicators of the IPD index. Their risks tend to converge with the implied volatility of the REIT’s operating asset but without being affected by the general stock market risks. Regarding the forward price–discovery function, investors should collect information not only from the spot market but also, maybe primarily, from the derivative market. Originality/value – In this paper, we use a never-exploited database that is relative to the quotes of the UK IPD swaps. It is the first attempt to analyze the statistical characteristics of their changes. Our results show that these prices are clearly superior to the spot series, in terms of risks but without behaving affected by the tyranny of the past values. These findings may conduct to consider new methods to unsmooth current real estate indices. Characterized by a strong sensitivity to the changes in the information set, property derivative-based indicators should lead to increased efficiency in the spot market.en
dc.relation.isversionofjnlnameJournal of European Real Estate Research
dc.relation.isversionofjnlvol7
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages158-180en
dc.relation.isversionofdoi10.1108/JERER-08-2013-0014
dc.relation.isversionofjnlpublisherEmeralden
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.person.labIds1032*
hal.person.labIds1032*
hal.identifierhal-01638607*


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record