On Balance, are Balances a Leading Indicator of Property Market Performance?

Secondary Equity Offerings as a Leading Indicator of Market Performance examines the perception of an imminent market downturn as a motive behind new dilutive stock issuances. Market conditions, represented by the value of the TSX composite index, are found to have a weak , yet significant relationship with the total gross proceeds of secondary offerings. The paper interprets this relationship as evidence that an influx of seasoned equity offerings is a leading indicator of a market downturn. The paper suggests that this is a result of opportunistic managers cashing in on favourable market conditions in order to insulate their capital holdings while the opportunity is still available. The paper observes a trend in which the leading secondary issuances tend to occur in two distinct peaks. The “dual peak” effect is believed to be a product of herding by managers due to relative risk sensitivity.

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The Australian Residential Property Market: A Study on Foreign Real Estate Investment

10.29007/lb9p ◽

2018 ◽

Author(s):

Peng Wong ◽

Ron Wakefield

Keyword(s):

Real Estate ◽

Foreign Investment ◽

Global Financial Crisis ◽

Market Performance ◽

House Price ◽

Asia Pacific ◽

Residential Property ◽

Property Market ◽

Real Estate Investment ◽

The Relationship

This research focuses on determining the significance of foreign investment in the Australian residential property market subsequent to the Global Financial Crisis 2008. Quantitative models built on secondary data were tested on two residential property markets comprising Metropolitan Melbourne and a key suburb in the Victoria State, Australia. The relationship between the house price performances and various leading offshore and local Australian economic indicators were assessed. As a result of the increasing relevance of globalisation and Asia Pacific private wealth in the Australia, foreign real estate investment has impacted significantly the Melbourne residential property market performance. The result of this study provides a better understanding on the relationship between the Australian residential property market performance and the emerging significance of the foreign investment drivers. A better understanding of these foreign investment determinants will assist policy makers to effectively manage the Australian residential property market without compromising the steady flow of foreign real estate investment. The result of this study is believed to yield findings that can assist the researcher, property market operators and investors in the evaluation of foreign investments in the Australia residential housing market.

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Residential property market performance and extreme risk measures

Pacific Rim Property Research Journal ◽

10.1080/14445921.2016.1225152 ◽

2016 ◽

Vol 23 (1) ◽

pp. 1-13

Author(s):

David M. Higgins

Keyword(s):

Risk Measures ◽

Market Performance ◽

Residential Property ◽

Property Market ◽

Extreme Risk

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Supply-Side Policies and Retail Property Market Performance

Environment and Planning A Economy and Space ◽

10.1068/a38250 ◽

2007 ◽

Vol 39 (5) ◽

pp. 1134-1146 ◽

Cited By ~ 10

Author(s):

Catherine Jackson ◽

Craig Watkins

Keyword(s):

Market Performance ◽

Supply Side ◽

Property Market ◽

Retail Property

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Defining the three Rs of commercial property market performance

Journal of Property Investment and Finance ◽

10.1108/jpif-08-2014-0054 ◽

2015 ◽

Vol 33 (6) ◽

pp. 481-493 ◽

Cited By ~ 1

Author(s):

David Higgins

Keyword(s):

Standard Deviation ◽

Power Law ◽

Extreme Values ◽

Market Performance ◽

Downside Risk ◽

Property Market ◽

Power Law Distribution ◽

Content Type ◽

Commercial Property ◽

Price Fluctuations

Purpose – Modern property investment allocation techniques are typically based on recognised measures of return and risk. Whilst these models work well in theory under stable conditions, they can fail when stable assumptions cease to hold and extreme volatility occurs. This is evident in commercial property markets which can experience extended stable periods followed by large concentrated negative price fluctuations as a result of major unpredictable events. This extreme volatility may not be fully reflected in traditional risk calculations and can lead to ruin. The paper aims to discuss these issues. Design/methodology/approach – This research studies 28 years of quarterly Australian direct commercial property market performance data for normal distribution features and signs of extreme downside risk. For the extreme values, Power Law distribution models were examined as to provide a better probability measure of large negative price fluctuations. Findings – The results show that the normal bell curve distribution underestimated actual extreme values both by frequency and extent, being by at least 30 per cent for the outermost data point. For the statistical outliers beyond 2 SD, a Power Law distribution can overcome many of the shortcomings of the standard deviation approach and therefore better measure the probability of ruin, being extreme downside risk. Practical implications – In highlighting the challenges to measuring property market performance, analysis of extreme downside risk should be separated from traditional standard deviation risk calculations. In recognising these two different types of risk, extreme downside risk has a magnified domino effect with the tendency of bad news to come in crowds. Big price changes can lead to market crashes and financial ruin which is well beyond the standard deviation risk measure. This needs to be recognised and developed as there is evidence that extreme downside risk determinants are increasing by magnitude, frequency and impact. Originality/value – Analysis of extreme downside risk should form a key part of the property decision process and be included in the property investment manager’s toolkit. Modelling techniques for estimating measures of tail risk provide challenges and have shown to be beyond traditional risk management practices, being too narrow and constraining a definition. Measuring extreme risk and the likelihood of ruin is the first step in analysing and dealing with risk in both an asset class and portfolio context.

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