Refining the Analysis of Regional Diversification for Income-Producing Real Estate

Hartzell, David; Shulman, David; Wurtzebach, Charles H.

doi:10.1080/10835547.1987.12090537

Cited by 109 publications

(24 citation statements)

References 9 publications

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“…On the other side of the spectrum, however, analyses would be erroneous without correcting for the effect of smoothing (Geltner, 1991). Examples can be found in studies by Brueggeman et al (1984); Miles and McCue (1984); Hartzell et al (1986, 1987a,b).…”

Section: Literature Reviewmentioning

confidence: 99%

De‐lagging Hong Kong's office price indices via State Space Model with Kalman filter

Hui

Hung

2008

Property Management

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PurposeThis paper aims to find out whether lagging problems exist within Hong Kong's office values.Design/methodology/approachA State Space Model with the Kalman filter is deployed in detecting the extent of lagging errors in Hong Kong's office price indices, proffered by the ratings and valuation department (RVD).FindingsThe findings suggest that about one year of lagging errors exists in RVD's office price indices compared with the stock market property indices. Also, the finding suggests that the Kalman filter provides a more efficient form of estimates for real estate values and returns.Originality/valueWhile most studies investigating lagging problems of appraisal‐based returns concentrate on the US real estate market, studies in this regard for Asian countries (or cities) are few and far between. Hong Kong, in particular, is worth studying, considering its established role as a financial centre in South East Asia. This paper also provides some insights for further studies on the prediction of future real estate values, in particular those with fewer transactions.

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Section: Literature Reviewmentioning

confidence: 99%

De‐lagging Hong Kong's office price indices via State Space Model with Kalman filter

Hui

Hung

2008

Property Management

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“…In the US, studies have examined and compared the diversi cation bene ts offered by geographical and economic groupings of local markets. Updating and expanding the early work of Miles and McCue (1984) and Hartzell et al (1986), Hartzell et al (1987) challenge the standard four-region geographical diversi cation strategy by developing a more re ned eight-region classi cation based on the underlying economic fundamentals in contiguous areas. Using property returns data over the real estate cycle of 1973-87, they nd that the new classi cation, with categories such as the Industrial Midwest (with a focus on industry), the Farm Belt (with a focus on agriculture) and New England (hitech industry and services), offered superior bene ts over the four-region geographical classi cation.…”

Section: Classifying Local Marketsmentioning

confidence: 99%

“…In their study, Mueller and Ziering (1992) analyse returns data from a portfolio comprising between 113 and 411 properties, across 5 property sectors throughout the US, over the real estate cycle 1973 to 1990. The data are used to test the 4-region strategy, the 8-region strategy (from Hartzell et al, 1987) and two further classi cations they develop using, rst, 5 classes of markets based on employment base and, secondly, 5 classes based on employment performance. As with the above studies, they nd that these eco-nomically based classi cations provide superior diversi cation capabilities, although the two economic classi cations each provide distinct risk-returns characteristics during different stages of the real estate cycle.…”

Section: Classifying Local Marketsmentioning

confidence: 99%

“…These studies have found that local property markets do form relatively homogeneous groups and that these do not conform to regional boundaries. This is also the case in the US, where a body of work has been developed challenging geographical diversi cation strategies by developing alternative classi cations using underlying economic fundamentals (see Hartzell et al, 1987;Malizia and Simons, 1991;Mueller and Ziering, 1992;Mueller, 1993;and Goetzmann and Wachter, 1995, for example). The studies suggest a number of different strategies to develop groupings of local markets, such as combining geographical location with economic characteristics, or, alternatively, examining economic, labour market or property market characteristics to produce distinct classi cations of noncontiguous local markets.…”

Section: Introductionmentioning

confidence: 99%

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Classifying Local Retail Property Markets on the Basis of Rental Growth Rates

Catherine

2002

Urban Studies

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Diversification strategies for the property element of portfolios have traditionally been undertaken on a sectoral/regional basis, primarily due to data restrictions. However, the standard regions in the UK are defined for administrative purposes and are likely, therefore, to be composed of heterogeneous property markets. The development of an alternative classification, based on local property markets, is investigated. This is based on annual retail rental growth rates and is developed using cluster analysis. A number of issues emerge. Throughout the various stages of development and tests for temporal stability, the local markets group according to broad underlying rental drivers. However, more tightly defined clusters are unstable over time as a consequence of rental volatility at the local level. It is clear that markets do not form groups conforming to the geographical regions that are widely analysed and that traditionally form the basis for diversification.

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“…The U.S. was divided into eight regions by Salomon Brothers (Hartzell, Shulman, and Wertzebach, 1988), these regions being defined to be more homogeneous than the Census regional breakdown. Our regional indexes are population-weighted averages of the local house prices observed in all localities in the region, where the 1986 population data are from the bureau of census (1988) .…”

Section: Regional Rouse Price Seriesmentioning

confidence: 99%

Local House Price Indexes: 1982–1991

Haurin

Hendershott

Kim

1991

Real Estate Economics

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We begin with a description of three house price panel data sets for the period 1982 to 1991. Next, we estimate a model that assumes the three sources are derived from an underlying unobserved price series, and we construct composite indexes that report house prices for 135 locations. These series can be used either as explanatory variables in studies of household formation, housing demand, and migration or to test models of the determinants of spatial and intertemporal variations in house prices. Finally, we construct regional series (based, alternatively, on census and Salomon Brothers regions) and two national aggregates and describe their movements. Our series are compared to other local, regional, and national series. Copyright American Real Estate and Urban Economics Association.

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Refining the Analysis of Regional Diversification for Income-Producing Real Estate

Cited by 109 publications

References 9 publications

De‐lagging Hong Kong's office price indices via State Space Model with Kalman filter

De‐lagging Hong Kong's office price indices via State Space Model with Kalman filter

Classifying Local Retail Property Markets on the Basis of Rental Growth Rates

Local House Price Indexes: 1982–1991

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