What is it about?
There are many methods for forecasting stock prices. But only a few of them are suitable for the stocks of real estate companies. This is because it is not only necessary to forecast the stock market, but also the real estate market. We have developed a new method to do this. What is special about it is that it also predicts risk, using contemporary risk metrics. The model was developed using data on German stocks from 1991 to 2019 and was tested with additional data from 2020 to 2021. The result is that real estate stocks are less profitable but also less risky than other stocks.
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Why is it important?
Our method combines real estate market and stock market prediction techniques with risk research. We demonstrate that our model provides valid estimates of future real estate stock returns and risks, even in times of crisis. This is an important insight for researchers and investors in real estate stocks.
Perspectives
What I found exciting about the work was that I was able to tie together some loose ends from my earlier research. For example, many years ago I had considered and rejected ‘geometric Brownian motion’ as a forecasting method for real estate markets. But together with newer econometric methods, the method works well for real estate stocks. However, the most important insight for me is the ability to forecast value at risk.
Prof. Dr. Carsten Lausberg
Hochschule fur Wirtschaft und Umwelt Nurtingen-Geislingen
Read the Original
This page is a summary of: Forecasting risk and return of listed real estate:, Zeitschrift für Immobilienökonomie, August 2024, Springer Fachmedien Wiesbaden GmbH,
DOI: 10.1365/s41056-024-00070-4.
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