Cass Business School – MSc in Real Estate Investment
REAL ESTATE MODELLING & MARKET DYNAMICS
2015 SPRING TERM
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.
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.
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
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