Title: Time series modelling of real estate prices

Authors: Hiroshi Ishijima; Akira Maeda

Addresses: Graduate School of International Accounting, Chuo University, 1-18 Ichigaya-Tamachi, Shinjuku-ku, Tokyo 162-8478, Japan ' Graduate School of Arts and Sciences, University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo 153-8902, Japan

Abstract: As real estate and financial asset markets are now merging, we need a theoretical foundation for analysis of real estate investments in conjunction with both domestic and international financial investments. This study presents a methodology for evaluating real estate values. Specifically, we extend a classical hedonic model to a sophisticated one that allows us to generate 'implied' capital returns on real estate and to estimate risks and returns on real estate investments. The results of our theory and statistical analysis here highlight the role of real estate investments in contrast to that of financial securities.

Keywords: real estate prices; rate of return; time series modelling; empirical analysis; financial investment; real estate investment; implied capital returns; risk assessment; financial securities.

DOI: 10.1504/GBER.2014.058075

Global Business and Economics Review, 2014 Vol.16 No.1, pp.26 - 45

Published online: 16 Jun 2014 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article