Direct Real Estate Investment Risk under the Ex Ante Duration, Timevarying Beta and GARCH Models  

Oleh:

LI, Max Y. ; Ho, David K. H.

Jenis: Article from Proceeding
Dalam koleksi: The International Symposium on Social Sciences (TISSS) and Hong Kong International Conference on Education, Psychology and Society (HKICEPS) at Hongkong, December 2013, page 261-294.
Topik: Real Estate; Time Varying Beta; Total Risk; Duration; GARCH
Fulltext: Hong Kong-Conference 37.pdf (829.33KB)

Isi artikel

Duration, which is closely related to the volatility of a fixed-income asset, may well be relevant in enhancing the risk management of direct real estate investment portfolios. This paper modifies the duration model of distribution free in order to measure real estate timevarying systematic risk and total risk, in terms of the non-linear exposure to movements in the real estate yield. This paper uniquely and rigorously integrates the duration model in combination with the real estate equivalent-yield valuation model. In addition, an empirical validation is conducted to estimate the real estate duration beta and the time-varying beta, within the context of Singapore’s real estate market that comprises the luxury residential, the prime office and the retail sectors. Consequently, the resulting modified duration model is restructured to estimate the real estate total risk that in turn is assessed in comparison with the GARCH risk model.

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