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The Measurement and Modelling of Commercial Real Estate Performance

Published online by Cambridge University Press:  10 June 2011

P. M. Booth Professor  and
G. Marcato
P. M. Booth Professor
Affiliation:
Cass Business School, 106 Bunhill Row, London EC1Y 8TZ, U.K., Email: [email protected]
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Abstract

In this paper we discuss methods of developing real estate indices, the availability of real estate data, the problems of using published real estate data and how real estate data can be used for stochastic investment modelling for actuarial purposes. In recent years there have been many developments in the collection, presentation and analysis of real estate data that have not found their way into the actuarial literature. We review those developments and suggest and develop ways in which raw real estate investment data can be used for actuarial purposes. We then review the Wilkie real estate stochastic investment model and use the research of real estate finance academics to inform a critique and development of that model. In developing the models, different data sets are used, including data from valuation-based and de-smoothed indices in order to find appropriate parameter estimates. The significance (or otherwise) of the parameter estimates is tested for each of the fitted models and the differences between the fitted models are examined. By reviewing research in the real estate finance field, making use of the latest research and developing original work, the main aim of this paper is to ensure that actuaries have the means to collect, understand and manipulate real estate data for performance measurement and investment modelling purposes.

Keywords

Commercial Property IndicesStochastic Investment ModellingPerformance Measurement
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 10 , Issue 1 , 01 April 2004 , pp. 5 - 61
Copyright
Copyright © Institute and Faculty of Actuaries 2004

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