Show simple item record

dc.contributor.authorDrouhin, Pierre-Arnaud
dc.contributor.authorEssafi, Yasmine
dc.contributor.authorSimon, Arnaud
dc.date.accessioned2017-01-17T15:51:55Z
dc.date.available2017-01-17T15:51:55Z
dc.date.issued2015
dc.identifier.issn0895-5638
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16185
dc.language.isoenen
dc.subjectReal estate swapen
dc.subjectForward curveen
dc.subjectAppraisal based indexen
dc.subjectFirst-difference modelen
dc.subject.ddc333en
dc.subject.classificationjelR.R3.R31en
dc.titleForward Curve Risk Factors Analysis in the UK Real Estate Marketen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper empirically investigates the risk factors of the property swap prices using 4 years of price data relative to the UK Investment Property Databank (IPD) Total Return All Property Swap. The implied forward rates are analyzed with a first difference model to determine its main components. Regarding the risk free rate, the traditional sport-forward relation does not hold for property derivatives. The impact of the risk free rate on forward rates appears as being complex and made of different effects; it varies according to time and maturities. Derivatives prices take into account the smoothing effect of the underlying index and REITs stocks are also relevant to explain these prices. The informational content of the swap is important. The impact of the REITs and of the smoothing decreases with maturities. The risk factor structure obtained is more complex than found in many other studies relative to commodities, securities or bonds. Possible reasons for this phenomenon are discussed.en
dc.relation.isversionofjnlnameJournal of Real Estate Finance and Economics
dc.relation.isversionofjnlvol53en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpages494-526en
dc.relation.isversionofdoi10.1007/s11146-015-9534-zen
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-01-13T18:27:43Z
hal.person.labIds1032
hal.person.labIds1032
hal.person.labIds1032
hal.identifierhal-01438428*


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