Property investment and the capital markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London [u.a.]
Spon
1991
|
| Ausgabe: | 1. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XV, 312 S. graph. Darst. |
| ISBN: | 0419155309 0442313462 |
Internformat
MARC
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| 100 | 1 | |a Brown, Gerald R. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Property investment and the capital markets |c Gerald R. Brown |
| 250 | |a 1. ed. | ||
| 264 | 1 | |a London [u.a.] |b Spon |c 1991 | |
| 300 | |a XV, 312 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Real property - Investment | |
| 650 | 7 | |a Investeringen |2 gtt | |
| 650 | 7 | |a Kapitaalmarkt |2 gtt | |
| 650 | 7 | |a Onroerend goed |2 gtt | |
| 650 | 4 | |a Capital market | |
| 650 | 4 | |a Real estate investment | |
| 650 | 4 | |a Real property |x Finance | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-016368260 | ||
Datensatz im Suchindex
| _version_ | 1804137449383788544 |
|---|---|
| adam_text | Contents
Acknowledgements ix
Preface Xl
Introduction xiii
1 Decision making under certainty and uncertainty 1
1.1 The importance of present value 1
1.2 The effect of risk on present value 4
1.3 Principal issues 5
1.4 Diversification and portfolio theory 6
1.5 The development of capital market theory 16
1.6 The capital asset pricing model 20
1.7 Relaxing the assumptions 22
1.8 Tests of the capital asset pricing model 25
1.9 Property and the market portfolio 26
1.10 Portfolio expansion and revision 27
1.11 Criticisms of risk return measures used in
property investment analysis 28
1.12 Conclusion 32
Appendices 33
1A Statistical techniques, risk measures and portfolio
analysis 33
IB The capital asset pricing model, the capital
market line and index models 43
1C The expectations operator and other expressions 49
ID Regression analysis 51
IE Continuous rates of return 5g
References 60
2 Market efficiency and its effect on pricing 62
2.1 The importance of information in assessing value 62
2.2 Efficiency of the market 68
2.3 Capitalizing on information 70
2.4 Valuation models 71
2.5 A general approach to valuation 71
2.6 Simplifying the model 73
2.7 Alternative valuation models 74
2.8 The equivalent yield model 74
2.9 The equated yield model 76
2.10 The rational valuation model 77
2.11 Reconciliation 79
2.12 Conclusions 80
Appendices 81
2A Valuations versus prices 81
2B An analysis of weak form market efficiency in the
commercial property market 87
2C Term structure and its potential impact on
valuation 98
2D An analysis of the changing risk profile of the
commercial property market 102
2E The assessment of systematic risk using a scenario
approach 108
2F The assessment of systematic risk using a
certainty equivalent approach 112
2G Assessing the risk premium for property 126
2H The decomposition of property yields 132
References 138
3 Hedging against inflation 139
3.1 Development of inflation 139
3.2 Hedging against inflation: the theory 140
3.3 Defining a hedge against inflation 141
3.4 Assessing expected inflation 147
3.5 UK studies on inflation hedging 150
3.6 USA studies on inflation hedging 155
3.7 Conclusion 160
Appendix 161
3A A test for inflation hedging 161
Contents vii
References 164
4 Portfolio construction 165
4.1 Background 166
4.2 Sample statistics 168
4.3 Methodology 171
4.4 Empirical tests using value-weighted portfolios 176
4.5 Investment in all sectors 177
4.6 Portfolio diversification 180
4.7 Systematic risk of existing portfolios 186
4.8 Conclusion 189
Appendices 191
4A The characteristics of property returns 191
4B Risk reduction, correlation and average property 201
risk
References 205
5 Portfolio strategy and asset allocation 206
5.1 Portfolio strategy 206
5.2 Technical analysis 207
5.3 Fundamental analysis 208
5.4 Active/passive strategies 209
5.5 Tracking an index with a property portfolio 211
5.6 Consistent and inconsistent strategies 213
5.7 Tracking expectations 213
5.8 Property selection 215
5.9 Processing information 216
5.10 Asset allocation and sector allocation 221
5.11 Conclusion 227
Appendices 228
5A Eliminating smoothing in property indices 228
5B The performance of property bonds 231
References , 237
6 Performance measurement 238
6.1 The valuation process 239
6.2 Valuations versus prices 241
6.3 Valuations versus valuations 241
6.4 Valuation whim 242
6.5 Communication, accountability and research 245
6.6 Objectives of a performance measurement system 246
6.7 Measuring returns 247
6.8 Money-weighted and time-weighted rates of re¬
turn 248
6.9 Calculating time-weighted rates of return 251
6.10 The linked internal rate of return 253
6.11 The mean fund concept 254
6.12 Choosing a bench-mark 255
6.13 Analysing the results 258
6.14 Conclusion 262
Appendices 264
6A Performance measurement of a property portfolio 264
6B Comparison of property indices 282
References 293
7 Conclusions 294
Bibliography 299
Index 307
|
| adam_txt |
Contents
Acknowledgements ix
Preface Xl
Introduction xiii
1 Decision making under certainty and uncertainty 1
1.1 The importance of present value 1
1.2 The effect of risk on present value 4
1.3 Principal issues 5
1.4 Diversification and portfolio theory 6
1.5 The development of capital market theory 16
1.6 The capital asset pricing model 20
1.7 Relaxing the assumptions 22
1.8 Tests of the capital asset pricing model 25
1.9 Property and the market portfolio 26
1.10 Portfolio expansion and revision 27
1.11 Criticisms of risk return measures used in
property investment analysis 28
1.12 Conclusion 32
Appendices 33
1A Statistical techniques, risk measures and portfolio
analysis 33
IB The capital asset pricing model, the capital
market line and index models 43
1C The expectations operator and other expressions 49
ID Regression analysis 51
IE Continuous rates of return 5g
References 60
2 Market efficiency and its effect on pricing 62
2.1 The importance of information in assessing value 62
2.2 Efficiency of the market 68
2.3 Capitalizing on information 70
2.4 Valuation models 71
2.5 A general approach to valuation 71
2.6 Simplifying the model 73
2.7 Alternative valuation models 74
2.8 The equivalent yield model 74
2.9 The equated yield model 76
2.10 The rational valuation model 77
2.11 Reconciliation 79
2.12 Conclusions 80
Appendices 81
2A Valuations versus prices 81
2B An analysis of weak form market efficiency in the
commercial property market 87
2C Term structure and its potential impact on
valuation 98
2D An analysis of the changing risk profile of the
commercial property market 102
2E The assessment of systematic risk using a scenario
approach 108
2F The assessment of systematic risk using a
certainty equivalent approach 112
2G Assessing the risk premium for property 126
2H The decomposition of property yields 132
References 138
3 Hedging against inflation 139
3.1 Development of inflation 139
3.2 Hedging against inflation: the theory 140
3.3 Defining a hedge against inflation 141
3.4 Assessing expected inflation 147
3.5 UK studies on inflation hedging 150
3.6 USA studies on inflation hedging 155
3.7 Conclusion 160
Appendix 161
3A A test for inflation hedging 161
Contents vii
References 164
4 Portfolio construction 165
4.1 Background 166
4.2 Sample statistics 168
4.3 Methodology 171
4.4 Empirical tests using value-weighted portfolios 176
4.5 Investment in all sectors 177
4.6 Portfolio diversification 180
4.7 Systematic risk of existing portfolios 186
4.8 Conclusion 189
Appendices 191
4A The characteristics of property returns 191
4B Risk reduction, correlation and average property 201
risk
References 205
5 Portfolio strategy and asset allocation 206
5.1 Portfolio strategy 206
5.2 Technical analysis 207
5.3 Fundamental analysis 208
5.4 Active/passive strategies 209
5.5 Tracking an index with a property portfolio 211
5.6 Consistent and inconsistent strategies 213
5.7 Tracking expectations 213
5.8 Property selection 215
5.9 Processing information 216
5.10 Asset allocation and sector allocation 221
5.11 Conclusion 227
Appendices 228
5A Eliminating smoothing in property indices 228
5B The performance of property bonds 231
References , 237
6 Performance measurement 238
6.1 The valuation process 239
6.2 Valuations versus prices 241
6.3 Valuations versus valuations 241
6.4 Valuation whim 242
6.5 Communication, accountability and research 245
6.6 Objectives of a performance measurement system 246
6.7 Measuring returns 247
6.8 Money-weighted and time-weighted rates of re¬
turn 248
6.9 Calculating time-weighted rates of return 251
6.10 The linked internal rate of return 253
6.11 The mean fund concept 254
6.12 Choosing a bench-mark 255
6.13 Analysing the results 258
6.14 Conclusion 262
Appendices 264
6A Performance measurement of a property portfolio 264
6B Comparison of property indices 282
References 293
7 Conclusions 294
Bibliography 299
Index 307 |
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| illustrated | Illustrated |
| index_date | 2024-07-02T20:01:44Z |
| indexdate | 2024-07-09T21:12:28Z |
| institution | BVB |
| isbn | 0419155309 0442313462 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016368260 |
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| spelling | Brown, Gerald R. Verfasser aut Property investment and the capital markets Gerald R. Brown 1. ed. London [u.a.] Spon 1991 XV, 312 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Real property - Investment Investeringen gtt Kapitaalmarkt gtt Onroerend goed gtt Capital market Real estate investment Real property Finance HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016368260&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Brown, Gerald R. Property investment and the capital markets Real property - Investment Investeringen gtt Kapitaalmarkt gtt Onroerend goed gtt Capital market Real estate investment Real property Finance |
| title | Property investment and the capital markets |
| title_auth | Property investment and the capital markets |
| title_exact_search | Property investment and the capital markets |
| title_exact_search_txtP | Property investment and the capital markets |
| title_full | Property investment and the capital markets Gerald R. Brown |
| title_fullStr | Property investment and the capital markets Gerald R. Brown |
| title_full_unstemmed | Property investment and the capital markets Gerald R. Brown |
| title_short | Property investment and the capital markets |
| title_sort | property investment and the capital markets |
| topic | Real property - Investment Investeringen gtt Kapitaalmarkt gtt Onroerend goed gtt Capital market Real estate investment Real property Finance |
| topic_facet | Real property - Investment Investeringen Kapitaalmarkt Onroerend goed Capital market Real estate investment Real property Finance |
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