Abstract
The analysis of investment in commercial property has tended to follow the models and controversies of the more general financial literature. The lag between the publication of the financial models and their application to property investment has, as Jaffe (1977) argues, been in the order of five to ten years and the present application of modern portfolio theory is consistent with this experience.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
Britton, W., Davies, K., and Johnson, T. (1980), Modern Methods of Valuation, Estates Gazette Limited.
Department of the Environment (1979), Commercial and Industrial Property Statistics 1978.
Dixon, H.D. (1972), ‘Composite measure of performance’, reprinted in P.H. Richards (ed.), (1979), UK and European Share Price Behaviour: The Evidence, Kogan Page.
Fama, E.F. and Schwert, G.W. (1977), ‘Asset returns and inflation’, Journal of Financial Economics, 5 November, pp. 115–46.
Jaffe, A.J. (1977), ‘Is there a “new” internal rate of return literature’, American Real Estate and Urban Economics Association Journal, 5, pp. 487–502.
Jensen, M.C. (ed) (1972), Studies in the Theory of Capital Markets, Praeger.
Jones, Lang Wootton (1980), JLW Property Index.
Kendall, M.G. (1973), Time-Series, Griffin.
Michael Lauries & Partners/Economist Intelligence Unit Limited (1980), An Analysis of Commercial Property Values 1962–1979.
Lintner, J. (1965), ‘Security prices, risk and maximal gains from diversification’, Journal of Finance, 20, pp.347–400.
Markowitz, H. (1952), ‘Portfolio selection’, Journal of Finance March, pp.77–91.
Miles, M. and Rice, M. (1978), ‘Towards a more complete investigation of the correlation of real estate investment yield to the rate evidenced in the money and capital markets: the individual investor’s perspective’, The Real Estate Appraiser and Analyst, November–December, pp.8–19.
Mossin, J. (1966), ‘Equilibrium in a capital asset pricing market’, Econometrica, 34, pp.768–83.
Myers, S.C. (1977), ‘The relationship between real and financial measures of risk and return’, in I. Friend and J.L. Bicksler (eds), Risk and Return in Finance, Volume 1, Ballinger.
Ratclifte, J. and Trott, A. (1980), ‘Lemands and techniques’, Estates Gazette, August 2, pp.435–9; August 9, pp.529–33.
Sharp, W. (1964), ‘Capital asset prices: a theory of market equilibrium under conditions of risk’, Journal of Finance.
Ward, C.W.K. (1979), ‘Methods of Incoporating Risk in the Analysis of Commercial Property Investment,’ unpublished Ph.D. Thesis, University of Reading.
Editor information
Editors and Affiliations
Copyright information
© 1983 Desmond Corner and David G. Mayes
About this chapter
Cite this chapter
Ward, C.W.R. (1983). Methods of Incorporating Risk in the Analysis of Commercial Property Investment: Multi-Period Asset Pricing Approach. In: Corner, D., Mayes, D.G. (eds) Modern Portfolio Theory and Financial Institutions. Palgrave Macmillan, London. https://doi.org/10.1007/978-1-349-05843-3_7
Download citation
DOI: https://doi.org/10.1007/978-1-349-05843-3_7
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-05845-7
Online ISBN: 978-1-349-05843-3
eBook Packages: Palgrave Business & Management CollectionBusiness and Management (R0)