The predictability of office property returns in Helsinki

Journal of Property Investment & Finance

Volumn 18, Issue 6, 2000, Pages 565-585

  Mcgough, Tony ^a   Tsolacos, Sotiris ^b   Olkkonen, Olli ^c  

^a CITY UNIVERSITY   (United Kingdom)

^b JONES LANG LASALLE   (United States)

^c UNIVERSITY OF TURKU   (Finland)

Author keywords

Finland; Forecasting; Modelling; Offices

Indexed keywords

EID: 84986093729     PISSN: 1463578X     EISSN: None     Source Type: Journal    
DOI: 10.1108/14635780010357541     Document Type: Article

References (37)

1. Adair, A., Berry, J. and McGreal, S. (1997), “Comparative analysis of market performance in European cities”, Journal of Property Valuation and Investment, Vol. 15 No. 4, pp. 323-35.
2. Akaike, H. (1974), “A new look at the statistical model identification”, IEEE Transactions on Automatic Control, Vol. 19 No. 6, pp. 716-23.
3. Breusch, T.S. (1978), “Testing for autocorrelation in dynamic linear models”, Australian Economic Papers, Vol. 17, pp. 334-55.
4. Brooks, C. and Tsolacos, S. (1999), “Property returns and the macroeconomy”, Journal of Property Research, Vol. 16 No. 2, pp. 139-52.
5. Chan, C.K., Hendershott, P.H. and Sanders, A.B. (1990), “Risk and return on real estate: evidence from equity REITs”, American Real Estate and Urban Economics Association Journal, Vol.18, pp. 431-52.
6. Chaplin, R. (1998), “An ex post comparative evaluation of office rent prediction models”, Journal of Property Valuation and Investment, Vol. 16 No. 1, pp. 21-37.
7. Chaplin, R. (1999), “The predictability of real office rents”, Journal of Property Research, Vol. 16 No. 1, pp. 21-49.
8. Chow, G. (1960), “Tests of equality between sets of coefficients in two linear regressions”, Econometrica, Vol. 52, pp. 211-22.
9. D’Arcy, E., McGough, T. and Tsolacos, S. (1997a), “An empirical investigation of retail rents in five European cities”, Journal of Property Valuation and Investment, Vol. 15 No. 4, pp. 308-22.
10. D’Arcy, E., McGough, T. and Tsolacos, S. (1997b), “National economic trends, market size and city growth effects on European office rents”, Journal of Property Research, Vol. 14 No. 4, pp. 297-308.
11. D’Arcy, E., McGough, T. and Tsolacos, S. (1999), “An econometric analysis and forecasts of the office rental cycle in the Dublin area”, Journal of Property Research, Vol. 16 No. 4, pp. 309-21.
12. Dickey, D.A. and Fuller, W.A. (1979), “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Association, Vol. 84, pp. 427-31.
13. Durbin, J. and Watson, G.S. (1951), “Testing for serial correlation in least squares regression”, Biometrika, Vol. 37, pp. 409-28.
14. Engle, R.F. and Granger, C.W.J. (1987), “Co-integration and error correction: representation, estimation and testing”, Econometrica, Vol. 55, pp. 251-76.
15. Eppli, M.J., Shilling, J.D. and Vandell, K.D. (1998), “What moves retail property returns at the metropolitan level?”, Journal of Real Estate Finance and Economics, Vol. 16 No. 3, pp. 317-42.
16. Fraser, W. (1986), “Supply elasticity and the rental value of investment property”, Journal of Valuation, Vol. 4 No. 4, pp. 354-69.
17. Fraser, W.D. (1993), Principles of Property Investment and Pricing, 2nd ed., Macmillan, Basingstoke and London.
18. Gardiner, C. and Henneberry, J. (1988), “The development of a simple regional model of office rent prediction”, Journal of Valuation, Vol. 7, pp. 36-52.
19. Gardiner, C. and Henneberry, J. (1991), “Predicting regional office rents using habit-persistence theories”, Journal of Property Valuation and Investment, Vol. 9, pp. 215-26.
20. Giussani, B., Hsia, M. and Tsolacos, S. (1993), “A comparative analysis of the major determinants of office rental values in Europe”, Journal of Property Valuation and Investment, Vol. 11, pp. 157-72.
21. Godfrey, L.G. (1978), “Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables”, Econometrica, Vol. 46, pp. 1293-302.
22. Granger, C.W.J. (1986), “Developments in the study of cointegrated economic variables”, Oxford Bulletin of Economics and Statistics, Vol. 48, pp. 213-28.
23. Hekman, J. (1985), “Rental price adjustment and investment in the office market”, American Real Estate and Urban Economics Association Journal, Vol. 13 No. 1, pp. 31-47.
24. Keogh, G. (1994). “Use and investment markets in British real estate”, Journal of Property Valuation and Investment, Vol. 12 No. 3, pp. 58-72.
25. Ling, D. and Naranjo, A. (1997), “Economic risk factors and commercial real estate returns”, Journal of Real Estate Finance and Economics, Vol. 14 No. 3, pp. 283-307.
26. Lizieri, C. and Satchell, S. (1997), “Property company performance and real interest rates: a regime switching approach”, Journal of Property Research, Vol. 14, pp. 85-97.
27. McCue, T.E. and Kling, J.L. (1994), “Real estate returns and the macroeconomy: some empirical evidence from real estate investment trust data, 1972-1991”, Journal of Real Estate Research, Vol. 9 No. 3, pp. 5-32.
28. McGough, T. and Tsolacos, S. (1994), “Forecasting office rental values using vector-autoregressive models”, Proceedings of “Cutting Edge” Property Research Conference, Royal Institution of Chartered Surveyors, December.
29. McGough, T. and Tsolacos, S. (1995), “Forecasting commercial rental values in the UK using ARIMA models”, Journal of Property Valuation and Investment, Vol. 13 No. 5, pp. 5-21.
30. Mei, J. and Liu, C.H. (1994), “The predictability of real estate returns and market timing”, Journal of Real Estate Finance and Economics, Vol. 8, pp. 115-35.
31. Pollakowski, H., Wachter, S. and Lynford, L. (1992), “Did office market size matter in the 1980s? A time-series cross-sectional analysis of metropolitan area office markets”, American Real Estate and Urban Economics Association Journal, Vol. 20 No. 2, pp. 303-24.
32. Ramsey, J.B. (1969), “Tests for specification errors in classical linear least squares regression analysis”, Journal of the Royal Statistical Society B, Vol. 31, pp. 350-71.
33. Shilling, J., Sirmans, C. and Corgel, J. (1987), “Price adjustment process for rental office space”, Journal of Urban Economics, Vol. 22, pp. 261-9.
34. Sivitanidou, R. and Sivitanides, P. (1999), “Office capitalization rates: real estate and capital market influences”, Journal of Real Estate Finance and Economics, Vol. 18 No. 3, pp. 297-322.
35. Tsolacos, S. (1995), “An econometric model of retail rents in the United Kingdom”, Journal of Real Estate Research, Vol. 10, pp. 519-30.
36. Tsolacos, S., Keogh, G. and McGough, T. (1998), “Modelling use, investment and development in the British office market”, Environment and Planning A, Vol. 30, pp. 1409-27.
37. White, H. (1980), “A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity”, Econometrica, Vol. 48, pp. 817-38.