Assessing the accuracy and dispersion of real estate investment forecasts

Papastamos, D., Stevenson, S. and Matysiak, G. (2015) Assessing the accuracy and dispersion of real estate investment forecasts. International Review of Financial Analysis, 42. pp. 141-152. ISSN 1057-5219 doi: 10.1016/j.irfa.2015.01.014

Abstract/Summary

Existing empirical evidence has frequently observed that professional forecasters are conservative and display herding behaviour. Whilst a large number of papers have considered equities as well as macroeconomic series, few have considered the accuracy of forecasts in alternative asset classes such as real estate. We consider the accuracy of forecasts for the UK commercial real estate market over the period 1999-2011. The results illustrate that forecasters display a tendency to under-estimate growth rates during strong market conditions and over-estimate when the market is performing poorly. This conservatism not only results in smoothed estimates but also implies that forecasters display herding behaviour. There is also a marked difference in the relative accuracy of capital and total returns versus rental figures. Whilst rental growth forecasts are relatively accurate, considerable inaccuracy is observed with respect to capital value and total returns.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/40906
Item Type	Article
Refereed	Yes
Divisions	Henley Business School > Real Estate and Planning
Uncontrolled Keywords	Property forecasts; Forecast errors; Bias
Publisher	Elsevier
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