The London Commercial Property Price Index

27 Pages Posted: 6 Jul 2012

See all articles by Andrea Chegut

Andrea Chegut

Maastricht University - Department of Finance

Piet M. A. Eichholtz

University of Maastricht - Limburg Institute of Financial Economics (LIFE)

Paulo Rodrigues

Maastricht University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: June 25, 2012

Abstract

Of the top ten global commercial property markets, London’s has had the highest transaction turnover levels in the world. Its prime real estate is part of every major European and US institutional investor’s portfolio and London’s market has the most developed commercial property derivatives market outside of the US. Yet, no transaction-based index exists for the London office market. The aim of this study is to fill that gap. Using a comprehensive dataset of transactions from Estates Gazette interactive and Real Capital Analytics, this paper analyzes different repeat-sales estimation strategies and noise filters to produce a quarterly index series from the first quarter of 1997 to the fourth quarter of 2011. In addition, the index series is measured against IPD’s London capital valuation series and the Moody’s/RCA New York office market repeat sales index series. Results show that the market turn of the first financial crisis is clearly visible in the transactions-based indices, and that this index leads the capital valuation series by about a year. London’s office market seems to have been affected by the crisis considerably earlier than New York’s market and correlations between the two markets are low.

Keywords: real estate index, repeat sales

JEL Classification: R11, R15, R51

Suggested Citation

Chegut, Andrea and Eichholtz, Piet M. A. and Rodrigues, Paulo, The London Commercial Property Price Index (June 25, 2012). Available at SSRN: https://ssrn.com/abstract=2101631 or http://dx.doi.org/10.2139/ssrn.2101631

Andrea Chegut (Contact Author)

Maastricht University - Department of Finance ( email )

Maastricht, 6200 MD
Netherlands

Piet M. A. Eichholtz

University of Maastricht - Limburg Institute of Financial Economics (LIFE) ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31 43 3883648 (Phone)
+31 43 3258530 (Fax)

Paulo Rodrigues

Maastricht University - Department of Finance ( email )

Maastricht, 6200 MD
Netherlands

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