Examination of the real estate market risk and volatility : focusing on the U.S. office property
Name
707932517-MIT.pdf
Description
Full printable version
Size
943.24 KB
Format
Adobe PDF
Checksum (MD5)
df9776091ab9021c90328ef180677eb0
Author(s)
Kim, Hyun Jae
Advisor(s)
William Wheaton.
Date Issued
2010
Publisher
Massachusetts Institute of Technology
Abstract
The high risk and volatility in the current real estate market has sparked investor interest in understanding what determines real estate market volatility. This study examines the U.S. office markets' overall and decomposed volatilities in vacancy and revenue across 45 metropolitan areas from 1987 to 2010. The relationships of the volatilities with economic and physical market characteristics are also analyzed. The study examines five overall or decomposed market volatilities: volatility in vacancy, volatility in revenue, demand-oriented vacancy change volatility, occupancy-oriented revenue change, and covariance of occupancy rent change. The linear regression analyses are used to explain the movements of the volatilities with market determinants, which include market size, employment growth, jobs in specific industries, submarket structures and geography. This study finds that geographical land availability and employment growth are significantly important for predicting market volatilities. Market size does not affect the decomposed volatility, but it reduces overall vacancy change volatility. Moreover, submarket structure becomes more meaningful when the revenue change volatility is decomposed into occupancy and rent changes. This study gives developers some tools for strategic decision-making in office property development issues.
Description
Thesis (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Program in Real Estate Development in Conjunction with the Center for Real Estate , 2010.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 56).
Subjects
Center for Real Estate. Program in Real Estate Development.
MIT Department
Massachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development.
Massachusetts Institute of Technology. Center for Real Estate
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