RT Journal Article
SR Electronic
T1 The Real Estate Risk Premium: <em>A Developed/Emerging Country Panel Data Analysis</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 118
OP 132
DO 10.3905/JPM.2009.35.5.118
VO 35
IS 5
A1 John-John D’Argensio
A1 Frédéric Laurin
YR 2009
UL https://pm-research.com/content/35/5/118.abstract
AB In this article, the authors present a study of the country risk premium in the office real estate market. The authors identify the determinants of office capitalization rates across a panel of 52 emerging and developed countries between 2000 and 2006. The capitalization rate should be proportional to the perception of a country’s risk, as measured by the country’s government bond yields. Based on this assumption, the authors estimate an intertemporal country-specific real estate risk premium. In consideration of endogeneity, the authors also estimate a model to explain the 10-year government bond yield, which produces additional information on country risk assessment. The authors find that government bond yields are the main determinant of the capitalization rate. Real estate variables also play a role, but to a lesser extent.TOPICS: Real estate, risk management, developed, emerging