Cass Business School €“ MSc in Real Estate Investment

REAL ESTATE MODELLING & MARKET DYNAMICS

2015 SPRING TERM

COURSEWORK ASSIGNMENT

Assignment brief

This assignment requires you to undertake an empirical analysis of yield movements and assess the outlook for yields. Expected yield shifts will impact on the assessment of risks to future capital values.

You can focus on a particular market and sector using time series data or you can put together and utilise a cross-section database that is data on yields and determinant factors across markets in a specific sector at a given time. Further a panel database can be built to perform panel data analysis. The sectors that are recommended to consider are office and retail but you may wish to consider other sectors. Once you choose the market (or markets) and sector for your study you should build and estimate a yield model. The specification of the model should be based on existing research and your understanding of yield movements.

You should clearly explain the specification of your model and present diagnostics tests as appropriate. Single equation regression analysis, vector autoregressions and panel models are frameworks you can consider in your empirical work. The interpretation of the results and your view on future yield trends are important aspects of this assignment. Forecasts for yields using your chosen model may require you to make your own assumptions about the future path of the drivers of yields identified in your study.

Output

You must write a report focusing on the above tasks with an executive summary of 4-5 bullet points. The length of the essay should not exceed 2,000 words. This limit excludes tables and graphs with statistical outputs you will include in your report.

Assessment Criteria

1. Understanding the theory of yield determination

2. Knowledge of building and estimating property yield models

3. Forming a view about future yield trends

4. Clarity in the interpretation and presentation of the results

Assignment Submission Deadline: See Moodle

Sotiris Tsolacos