Estimation and analysis of the risk premium for commercial property
Abstract
This paper has two main aims. First, given that an approximately 2 per cent positive differential of property over gilts appears to be the accepted required risk premium, then it is useful to examine the actual values of ex‐post risk premiums of property over both conventional and index‐linked gilts to determine whether this is achieved. Second, the univariate time series properties of the generated risk premiums are analysed to ascertain if there are any stable forecasting attributes embodied in the first and second moments.
Keywords
Citation
Tarbert, H. and Marney, J. (1999), "Estimation and analysis of the risk premium for commercial property", Journal of Property Investment & Finance, Vol. 17 No. 3, pp. 261-279. https://doi.org/10.1108/14635789910270512
Publisher
:MCB UP Ltd
Copyright © 1999, MCB UP Limited