|
|
A forecast of Commercial Real Estate Development and Investment Volumes in the Czech Republic
Nguyen, Thanh Tu ; Jandík, Tomáš (advisor) ; Streblov, Pavel (referee)
This thesis attempts to forecast investment volumes of the commercial real estate market in the Czech Republic in the medium-term from 2017 to 2020, using both qualitative methods and econometric models. Fundamental analysis and chart analysis are employed while judgemental forecasts by market experts are collected. In order to find evidence of historical and upcoming commercial asset price bubbles, a state-of-the-art peak-tagging technique and chart analysis for the graph of commercial real estate capital value index are used before integrating with market specialists' opinions. Neither CRE bubble nor signal for future major downturn has been found since 2000 despite the occurance of minor overpricing periods. ARIMA and several VAR models with endogenous and exogenous variables are run to find the best quantitative forecasts. Final forecasted investment volume for the upcoming years is found by integrating experts' opinion and results from the chosen model. JEL Classification R33 Keywords commercial real estate, investment, investment volumes, prime yields, office properties, shopping centres, industrial properties, Czech Republic Author's e-mail 88176426@fsv.cuni.cz Supervisor's e-mail tomas.jandik@reicofunds.cz
|
|
|
European Real Estate Investment Trusts: Analyzing Correlation with a DCC-GARCH Model
Jílek, Jiří ; Jandík, Tomáš (advisor) ; Vácha, Lukáš (referee)
Bibliographic Record JÍLEK, Jiří. European Real Estate Investment Trusts: Analyzing Correlation with a DCC- GARCH Model. Prague, 2012. 50 p. Master thesis (Mgr.) Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: Tomáš Jandík MA MSc MRICS. Abstract The main goal of this thesis is to study the interdependencies between returns of European real estate investment trusts (REITs) and other investment asset classes such as European equities, government bonds and commodities. The thesis is divided into two parts: in the first part, we describe the necessary background that led to the emergence of first REIT structures and also provide an overview of the European REITs market. In the second part, we apply the Dynamic Conditional Correlation GARCH (DCC-GARCH) model to examine correlations between the above mentioned asset classes. The general understanding of real estate is that it provides diversification benefits to a diversified portfolio. However, our results suggest that returns of European REITs and stocks show a relatively high correlation and more importantly, the correlation increases in time. These findings have significant implications for investors and portfolio managers who seek protection for their portfolios in time of market downturns. Our results...
|
|
|
Simulation of pension reform impact on Czech real estate market
Součková, Soňa ; Jandík, Tomáš (advisor) ; Hedbávný, Petr (referee)
Diplomová práce - Soňa Součková: Simulation of pension reform impact on real estate market Abstract The objective of this thesis is to estimate the impact of pension reform on commercial property market in the Czech Republic during the period of 2013 -2017. Our hypothesis is that a potential pension reform would have a positive significant impact on property investment volumes via institutions constituting the second pillar. In the first step, we provide analysis of pension reforms recently applied in Slovakia, Hungary, Poland, Lithuania, Latvia and Estonia. Given analysis of selected countries and specifics of the proposed Czech pension reform, we estimate that the institutions in the second pillar may face additional yearly cash inflows beginning on EUR 1.23 billion in 2013 and further increasing to EUR 2.59 billion in 2017. Furthermore, we estimate that a likely share allocation by second pillar institutions into real estate would lie in the region of 0 - 14% depending on the discrete decision of the regulators. Using a conservative leverage of 40% for bank financing, we estimate that the expected investment volumes allocated by second pillar institutions into real estate would be EUR 61 - 287 million in year 2013. Given the average investment volumes of EUR 1334 million p.a. allocated into commercial...
|
|
|
A forecast of Commercial Real Estate Development and Investment Volumes in the Czech Republic
Nguyen, Thanh Tu ; Jandík, Tomáš (advisor) ; Streblov, Pavel (referee)
This thesis attempts to forecast investment volumes of the commercial real estate market in the Czech Republic in the medium-term from 2017 to 2020, using both qualitative methods and econometric models. Fundamental analysis and chart analysis are employed while judgemental forecasts by market experts are collected. In order to find evidence of historical and upcoming commercial asset price bubbles, a state-of-the-art peak-tagging technique and chart analysis for the graph of commercial real estate capital value index are used before integrating with market specialists' opinions. Neither CRE bubble nor signal for future major downturn has been found since 2000 despite the occurance of minor overpricing periods. ARIMA and several VAR models with endogenous and exogenous variables are run to find the best quantitative forecasts. Final forecasted investment volume for the upcoming years is found by integrating experts' opinion and results from the chosen model. JEL Classification R33 Keywords commercial real estate, investment, investment volumes, prime yields, office properties, shopping centres, industrial properties, Czech Republic Author's e-mail 88176426@fsv.cuni.cz Supervisor's e-mail tomas.jandik@reicofunds.cz
|
|
|
Role of Behavioral Finance in Portfolio Investment Decisions: Evidence from India
Subash, Rahul ; Báťa, Karel (advisor) ; Jandík, Tomáš (referee)
I Role of Behavioral Finance in Portfolio Investment Decisions: Evidence from India Abstract Extreme volatility has plagued financial markets worldwide since the 2008 Global Crisis. Investor sentiment has been one of the key determinants of market movements. In this context, studying the role played by emotions like fear, greed and anticipation, in shaping up investment decisions seemed important. Behavioral Finance is an evolving field that studies how psychological factors affect decision making under uncertainty. This thesis seeks to find the influence of certain identified behavioral finance concepts (or biases), namely, Overconfidence, Representativeness, Herding, Anchoring, Cognitive Dissonance, Regret Aversion, Gamblers' Fallacy, Mental Accounting, and Hindsight Bias, on the decision making process of individual investors in the Indian Stock Market. Primary data for analysis was gathered by distributing a structured questionnaire among investors who were categorized as (i) young, and (ii) experienced. Results obtained by analyzing a sample of 92 respondents, out of which 53 admitted to having suffered a loss of at least 30% because of the crisis, revealed that the degree of exposure to the biases separated the behavioral pattern of young and experienced investors. Gamblers' Fallacy, Anchoring and...
|
|
|
European Real Estate Investment Trusts: Analyzing Correlation with a DCC-GARCH Model
Jílek, Jiří ; Jandík, Tomáš (advisor) ; Vácha, Lukáš (referee)
Bibliographic Record JÍLEK, Jiří. European Real Estate Investment Trusts: Analyzing Correlation with a DCC- GARCH Model. Prague, 2012. 50 p. Master thesis (Mgr.) Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: Tomáš Jandík MA MSc MRICS. Abstract The main goal of this thesis is to study the interdependencies between returns of European real estate investment trusts (REITs) and other investment asset classes such as European equities, government bonds and commodities. The thesis is divided into two parts: in the first part, we describe the necessary background that led to the emergence of first REIT structures and also provide an overview of the European REITs market. In the second part, we apply the Dynamic Conditional Correlation GARCH (DCC-GARCH) model to examine correlations between the above mentioned asset classes. The general understanding of real estate is that it provides diversification benefits to a diversified portfolio. However, our results suggest that returns of European REITs and stocks show a relatively high correlation and more importantly, the correlation increases in time. These findings have significant implications for investors and portfolio managers who seek protection for their portfolios in time of market downturns. Our results...
|
|
|
Simulation of pension reform impact on Czech real estate market
Součková, Soňa ; Jandík, Tomáš (advisor) ; Hedbávný, Petr (referee)
Diplomová práce - Soňa Součková: Simulation of pension reform impact on real estate market Abstract The objective of this thesis is to estimate the impact of pension reform on commercial property market in the Czech Republic during the period of 2013 -2017. Our hypothesis is that a potential pension reform would have a positive significant impact on property investment volumes via institutions constituting the second pillar. In the first step, we provide analysis of pension reforms recently applied in Slovakia, Hungary, Poland, Lithuania, Latvia and Estonia. Given analysis of selected countries and specifics of the proposed Czech pension reform, we estimate that the institutions in the second pillar may face additional yearly cash inflows beginning on EUR 1.23 billion in 2013 and further increasing to EUR 2.59 billion in 2017. Furthermore, we estimate that a likely share allocation by second pillar institutions into real estate would lie in the region of 0 - 14% depending on the discrete decision of the regulators. Using a conservative leverage of 40% for bank financing, we estimate that the expected investment volumes allocated by second pillar institutions into real estate would be EUR 61 - 287 million in year 2013. Given the average investment volumes of EUR 1334 million p.a. allocated into commercial...
|
|
| |
|
| |
guest ::
