Emerald | Journal of Property Finance | Table of Contents http://www.emeraldinsight.com/0958-868X.htm Table of contents from the most recently published issue of Journal of Property Finance Journal en-gb Mon, 01 Dec 1997 00:00:00 +0000 1997 Emerald Group Publishing Limited editorial@emeraldinsight.com support@emeraldinsight.com 60 Emerald | Journal of Property Finance | Table of Contents http://www.emeraldinsight.com/common_assets/img/covers_journal/jpfcover.gif http://www.emeraldinsight.com/0958-868X.htm 120 157 Economic forces shaping investment in office markets http://www.emeraldinsight.com/journals.htm?issn=0958-868X&volume=8&issue=4&articleid=845775&show=abstract http://www.emeraldinsight.com/10.1108/09588689710190324 <strong>Abstract</strong><br /><br />Divides investors into two types: tax-paying investors and tax-exempt pension funds. Tax-paying investors will worry about the expected after-tax variance of return on real estate, while tax-exempt pension funds will worry about the expected pre-tax variance of return. States this is an important observation because the after-tax variance of return is apt to be significantly less than the pre-tax variance of return (particularly during the early 1980s when tax-paying investors were able to use real estate losses to offset other income). The model developed by the author suggests this reduced expected after-tax variance of return helps explain the seemingly irrational construction that took place in US office markets during the 1980s. Article literatinetwork@emeraldinsight.com (James D. Shilling) Mon, 01 Dec 1997 00:00:00 +0000 Property forecasting in actuarial modelling and asset management http://www.emeraldinsight.com/journals.htm?issn=0958-868X&volume=8&issue=4&articleid=845776&show=abstract http://www.emeraldinsight.com/10.1108/09588689710367788 <strong>Abstract</strong><br /><br />Claims as property modelling and forecasting techniques have developed to take account of new investment theories, property researchers have tended to follow the approach of modern portfolio theory and, sometimes, the capital asset pricing model (CAPM). Argues that one of the reasons why property is often not included in actuarial property forecasting models for the purpose of asset allocation (which is a widespread perception in the property industry) is because actuaries have not made clear to property researchers the forms of their models, which are often quite different from those used in others parts of the finance literature. Explains how traditional investment theory can be adapted for actuarial use and how actuaries use forecasting models in asset allocation. Areas of property research which would assist actuaries develop better property forecasting models are identified. Article literatinetwork@emeraldinsight.com (Philip M. Booth) Mon, 01 Dec 1997 00:00:00 +0000 A heterogeneous panel cointegration-error correction approach to modelling commercial mortgage-backed security prices http://www.emeraldinsight.com/journals.htm?issn=0958-868X&volume=8&issue=4&articleid=845777&show=abstract http://www.emeraldinsight.com/10.1108/09588689710190333 <strong>Abstract</strong><br /><br />Provides the first empirical time series analysis of commercial mortgage-backed securities (CMBS) prices using a proprietary data set of 15 senior tranche securities. Postulates and tests the hypothesis that nonstationary CMBS and corporate bond prices are cointegrated since CMBS are priced analogous to corporate bonds. States that given the emerging status of the CMBS market, price data is limited to less than three years. To overcome the low power of unit root and cointegration methodology for short data sets, appeals to the concept of cointegration in heterogeneous panels advanced by Pedroni (1995). Claims the presence of cointegration between CMBS and corporate bond prices confirms that the stationary first difference in CMBS and corporate bond prices must be modelled in an error correction framework (ECM). Further states the sensitivity of CMBS price changes to changes in the default probability, proxied by the market value of loans to property value, is tested in a simple first order approximation ECM framework. The results suggest that senior tranche CMBS which comprise no more than 70 per cent are immune to the risk from default loss and supports the predictions in Childs et al. (1996). Article literatinetwork@emeraldinsight.com (Seow-Eng Ong, Clark L. Maxam) Mon, 01 Dec 1997 00:00:00 +0000 An attribution of the return on the UK commercial property market http://www.emeraldinsight.com/journals.htm?issn=0958-868X&volume=8&issue=4&articleid=845778&show=abstract http://www.emeraldinsight.com/10.1108/09588689710190342 <strong>Abstract</strong><br /><br />Between 1981 and 1994, the UK commercial property market (IPD) delivered a total return of 9.9 per cent each year, 4.2 per cent each year in real terms. Over the same period, the real return on UK equities and UK gilts was 11.6 per cent and 6.9 per cent respectively, it is important to account for the poor performance of property. Other than a model which attributes performance to income return and capital return, there are few models that attempt to account for this. This model is simply descriptive. The responsiveness of the return on commercial property to inflation is crucial to pension funds, the liabilities of which are often wage-linked. Establishes auto-regressive expectations of real ERV growth and inflation. Presents a model of the simulated lease structure of the IPD. States the main cause of the under-performance was the increase in the required return on property over the period. Between 1980 and 1994, long-term expectations of inflation fell. Concludes by stating the existence of over-rented properties, after the decline in rents in the early 1990s, had a large impact on he relative influence of inflation and real ERV growth. Over-renting increases the impact of unexpected inflation and changes in expected inflation and reduces the impact of unexpected real ERV growth and changes in expected real ERV growth. In fact, the impact of unexpected inflation in an over-rented environment is bigger than the impact of unexpected real ERV growth. Article literatinetwork@emeraldinsight.com (J.A. Schofield) Mon, 01 Dec 1997 00:00:00 +0000 Issues in the development and application of property market forecasting: the investor’s perspective http://www.emeraldinsight.com/journals.htm?issn=0958-868X&volume=8&issue=4&articleid=845779&show=abstract http://www.emeraldinsight.com/10.1108/09588689710190351 <strong>Abstract</strong><br /><br />Forecasts of rental growth are increasingly being required by and provided to property investors by a growing number of suppliers. Reviews the uses to which such forecasts are put by a major Uk institutional investor and, from a relatively unique vantage point, critically reviews the forecasting services available in the marketplace. In doing so, it identifies the main forecasting approaches adopted, highlights some of the clear inconsistencies between forecasters in terms of what they are forecasting, how they are forecasting and the different data sources they are using. Explains some of the causes for substantial variations observed in the forecasts provided and, finally, explores the potential for systematic forecasting errors. Concludes by emphasizing the need to switch attention from technical methods to improved “view formation”. Article literatinetwork@emeraldinsight.com (Paul M. Mitchell, Paul F. McNamara) Mon, 01 Dec 1997 00:00:00 +0000