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Article

The Information Content of Real Estate Derivative Prices

Shaun A. Bond and Paul Mitchell
The Journal of Portfolio Management Special Real Estate Issue 2011, 37 (5) 170-181; DOI: https://doi.org/10.3905/jpm.2011.37.5.170
Shaun A. Bond
is an associate professor in the Department of Finance and Real Estate at the University of Cincinnati in Cincinnati, OH.
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  • For correspondence: shaun.bond@uc.edu
Paul Mitchell
is a director of Paul Mitchell Real Estate Consultancy Ltd. in London, UK.
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  • For correspondence: Paul@pmrecon.com
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Abstract

The objective of this research was to assess whether forward returns implied by real estate derivative prices provide a more accurate measure of future real estate returns than a consensus forecast of industry experts. Implied returns derived from real estate derivative prices are often used by industry participants as forecasts of future returns, even though the theoretical justification for this is limited. Bond and Mitchell’s analysis suggests that since the introduction of real estate derivatives in the U.K., real estate derivatives prices have provided a better indication of future returns than a consensus forecast. But most of this apparent superior performance can be attributed to publication delays with the consensus forecasts. When adjusted for publication delay, the information content of real estate derivatives is shown to be remarkably similar to the consensus forecasts. The authors also caution that as the market for real estate derivatives develops, a greater divergence may emerge between market forecasts and real estate derivatives prices.

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The Journal of Portfolio Management: 37 (5)
The Journal of Portfolio Management
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Special Real Estate Issue 2011
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The Information Content of Real Estate Derivative Prices
Shaun A. Bond, Paul Mitchell
The Journal of Portfolio Management Sep 2011, 37 (5) 170-181; DOI: 10.3905/jpm.2011.37.5.170

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The Information Content of Real Estate Derivative Prices
Shaun A. Bond, Paul Mitchell
The Journal of Portfolio Management Sep 2011, 37 (5) 170-181; DOI: 10.3905/jpm.2011.37.5.170
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  • Article
    • Abstract
    • THE U.K. REAL ESTATE DERIVATIVES MARKET
    • PRICING REAL ESTATE DERIVATIVES
    • ESTIMATING THE RETURNS IMPLIED BY DERIVATIVES PRICING
    • DATA
    • THE IPF CONSENSUS FORECAST
    • DERIVATIVES MARKET DATA ISSUES
    • FORECAST COMPARISON
    • IMPACT OF PUBLICATION DELAYS OF THE CONSENSUS FORECASTS
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
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  • PDF (Subscribers Only)

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