Show simple item record

dc.contributor.advisorDavid Geltner.en_US
dc.contributor.authorCho, Kyung Seok, 1969-en_US
dc.contributor.otherMassachusetts Institute of Technology. Dept. of Urban Studies and Planning.en_US
dc.date.accessioned2005-09-06T19:55:03Z
dc.date.available2005-09-06T19:55:03Z
dc.date.copyright2004en_US
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/1721.1/26741
dc.descriptionThesis (S.M.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 2004.en_US
dc.descriptionThis electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.en_US
dc.descriptionIncludes bibliographical references (leaf 68).en_US
dc.description.abstractPrior studies suggest that variations of returns in all assets can be predicted to some extent. This study extends the subject of predictability of returns to commercial real estate. The main purpose of the present study is to investigate whether private real estate is predictable and the level of predictability associated with real estate return sufficient to realize superior investment performance by market timing. The study examines commercial real estate both at the aggregate level and in markets for four major property types in the United States. A rolling regression using a vector autoregressive model is employed to forecast returns and estimate the predictability of commercial real estate. Then the forecast model is used to construct simple rules regarding market timing. The classical efficient market theory suggests that there is little to be gained by timing investment, and little hope to consistently beat the market since asset prices already reflect all information available in the market. However, the fact that returns in commercial real estate are predictable raises the possibility of market timing. The potential to use a market timing strategy based on the predicted returns to achieve superior investment performance is of interest to practitioners since it suggests a more efficient method for investment portfolio allocation. The findings of the study suggest that commercial real estate returns are predictable to a certain extent and, although not statistically convincing, that the level of predictability associated with commercial real estate can be used to direct market timing decisions and achieve superior performance relative to a passive buy and hold portfolio. However, predictability of returns tends to decrease at the disaggregate property market level as the markets have smaller sample sizes and more exposure to idiosyncratic risk.en_US
dc.description.statementofresponsibilityby Kyung Seok Cho.en_US
dc.format.extent68 leavesen_US
dc.format.extent469688 bytes
dc.format.extent469508 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypeapplication/pdf
dc.language.isoen_US
dc.publisherMassachusetts Institute of Technologyen_US
dc.rightsM.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.en_US
dc.rights.urihttp://dspace.mit.edu/handle/1721.1/7582
dc.subjectUrban Studies and Planning.en_US
dc.titlePredictability of returns in commercial real estate : implications for investment decisionsen_US
dc.typeThesisen_US
dc.description.degreeS.M.en_US
dc.contributor.departmentMassachusetts Institute of Technology. Dept. of Urban Studies and Planning.en_US
dc.identifier.oclc59820886en_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record