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Leverage, liquidity and information in commercial property prices

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  • Jonathan A. Wiley

Abstract

Transactions volume and property cash flows appear to have little, if any, predictive value for commercial property price appreciation in the US during 2001 to mid-2015. Price appreciation is predicted by both credit tightening and the market share of highly active investors. Buyer composition (introduced by this study) appears to proxy informational content in the transactions market, as trading patterns for highly active investors are consistent with those possessing informational advantages. Underwriting restrictiveness adversely affects asset prices. Apart from buyer composition and credit policy, aggregate price movement appears largely produced by cycles of investment momentum rather than cycles in commercial property fundamentals.

Suggested Citation

  • Jonathan A. Wiley, 2017. "Leverage, liquidity and information in commercial property prices," Journal of Property Research, Taylor & Francis Journals, vol. 34(2), pages 77-107, April.
    • Handle: RePEc:taf:jpropr:v:34:y:2017:i:2:p:77-107
    DOI: 10.1080/09599916.2017.1320683
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    References listed on IDEAS

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    1. repec:arz:wpaper:eres2007-322 is not listed on IDEAS
    2. Henry Pollakowski & David Geltner, 2007. "A Set of Indexes for Trading Commercial Real Estate Based on the Real Capital Analytics Transaction Prices Database," ERES eres2007_322, European Real Estate Society (ERES).
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    Cited by:

    1. Thomas Paul & Thomas Walther & André Küster-Simic, 2022. "Empirical analysis of the illiquidity premia of German real estate securities," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 203-260, June.
    2. Usman Hamza & Lizam Mohd & Burhan Burhaida, 2021. "A Priori Spatial Segmentation of Commercial Property Market using Hedonic Price Modelling," Real Estate Management and Valuation, Sciendo, vol. 29(2), pages 16-28, June.

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