Individual assets, market structure and the drivers of return

Much prior research on the structure and performance of UK real estate portfolios has relied on aggregated measures for sector and region. For these groupings to have validity, the performance of individual properties within each group should be similar. This paper analyses a sample of 1,200 properties using multiple discriminant analysis and cluster analysis techniques. It is shown that conventional property type and spatial classifications do not capture the variation in return behaviour at the individual building level. The major feature is heterogeneity - but there may be distinctions between growth and income properties and between single and multi-let properties that could help refine portfolio structures.

International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks

The performance of various statistical models and commonly used financial indicators for forecasting securitised real estate returns are examined for five European countries: the UK, Belgium, the Netherlands, France and Italy. Within a VAR framework, it is demonstrated that the gilt-equity yield ratio is in most cases a better predictor of securitized returns than the term structure or the dividend yield. In particular, investors should consider in their real estate return models the predictability of the gilt-equity yield ratio in Belgium, the Netherlands and France, and the term structure of interest rates in France. Predictions obtained from the VAR and univariate time-series models are compared with the predictions of an artificial neural network model. It is found that, whilst no single model is universally superior across all series, accuracy measures and horizons considered, the neural network model is generally able to offer the most accurate predictions for 1-month horizons. For quarterly and half-yearly forecasts, the random walk with a drift is the most successful for the UK, Belgian and Dutch returns and the neural network for French and Italian returns. Although this study underscores market context and forecast horizon as parameters relevant to the choice of the forecast model, it strongly indicates that analysts should exploit the potential of neural networks and assess more fully their forecast performance against more traditional models.

Measuring quality of life in aphasia: results from two scales

Background: Although aphasia affects quality of life (QoL), the impact within specific domains (e.g., psychosocial, communication) is poorly understood. Moreover, the complex and multidimensional nature of QoL renders it difficult to measure accurately using a single global scale. Aims: Using two recently developed QoL scales, the Stroke and Aphasia Quality of Life Scale-39, (SAQOL; Hilari, Byng, Lamping, & Smith, 2003a) and the American Speech Language Hearing Association’s Quality of Communication Life Scale (QCL; Paul et al., 2004), this study aimed to document the domains of QoL that were most affected for participants with aphasia compared to control participants, as well as to determine the relationship between the two scales, their sub-domains, and linguistic variables in aphasia. Methods & Procedures: The two scales were administered to a group of 19 participants with aphasia (14 male, 5 female), ages ranging from 27 to 79 years, and 19 age- and gender-matched control participants. Various types and severity of aphasia were represented in the aphasia group. The performances of aphasia and control groups were compared, and correlation analyses examined the relationship between the two scales and their sub-domains in the aphasia group only. Outcomes & Results: Compared to control participants, QoL was lower in participants with aphasia, with the communication sub-domain of SAQOL and socialisation/ activities sub-domain of QCL being the most affected areas of functioning. Between the two scales, the communication sub-domain of SAQOL correlated with the socialisation/ activities sub-domain and the QCL mean. Moreover, linguistic variables correlated strongly with psychosocial, communication and socialisation/activities sub-domains of QoL. Conclusions: Measuring QoL using the SAQOL and the QCL captures different but equally important aspects of experiences of living with aphasia. When interpreted together, they provide a holistic picture of functioning in aphasia that includes broad overviews of QoL from the SAQOL and a finer-grained analysis of communication impairments on QoL from the QCL.

Benchmarking and valuation issues in measuring depreciation for European office markets

Purpose – The paper addresses the practical problems which emerge when attempting to apply longitudinal approaches to the assessment of property depreciation using valuation-based data. These problems relate to inconsistent valuation regimes and the difficulties in finding appropriate benchmarks. Design/methodology/approach – The paper adopts a case study of seven major office locations around Europe and attempts to determine ten-year rental value depreciation rates based on a longitudinal approach using IPD, CBRE and BNP Paribas datasets. Findings – The depreciation rates range from a 5 per cent PA depreciation rate in Frankfurt to a 2 per cent appreciation rate in Stockholm. The results are discussed in the context of the difficulties in applying this method with inconsistent data. Research limitations/implications – The paper has methodological implications for measuring property investment depreciation and provides an example of the problems in adopting theoretically sound approaches with inconsistent information. Practical implications – Valuations play an important role in performance measurement and cross border investment decision making and, therefore, knowledge of inconsistency of valuation practice aids decision making and informs any application of valuation-based data in the attainment of depreciation rates. Originality/value – The paper provides new insights into the use of property market valuation data in a cross-border context, insights that previously had been anecdotal and unproven in nature.