Estimation and analysis of the risk premium for commercial property

Heather Tarbert, John-Paul Marney

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

This paper has two main aims. First, given that an approximately 2 per cent positive differential of property over gilts appears to be the accepted required risk premium, then it is useful to examine the actual values of ex-post risk premiums of property over both conventional and index-linked gilts to determine whether this is achieved. Second, the univariate time series properties of the generated risk premiums are analysed to ascertain if there are any stable forecasting attributes in the first and second moments
Original languageEnglish
Pages (from-to)261-279
Number of pages19
JournalJournal of Property Investment and Finance
Volume17
Issue number3
DOIs
Publication statusPublished - 1999
Externally publishedYes

Keywords

  • Commercial property
  • Property investment
  • Risk

Fingerprint Dive into the research topics of 'Estimation and analysis of the risk premium for commercial property'. Together they form a unique fingerprint.

Cite this