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Timing and the holding periods of institutional real estate

By D. Collett, C. Lizieri and C. Ward

Abstract

Literature on investors' holding periods for securities suggests that high transaction costs are associated with longer holding periods. Return volatility, by contrast, is associated with shorter holding periods. In real estate, high transaction costs and illiquidity imply longer holding periods. Research on depreciation and obsolescence suggests that there might be an optimal holding period. Sales rates and holding periods for U.K. institutional real estate are analyzed, using a proportional hazards model, over an 18-year period. The results show longer holding periods than those claimed by investors, with marked differences by type of property and over time. The results shed light on investor behavior

Year: 2003
DOI identifier: 10.1111/1540-6229.00063
OAI identifier: oai:centaur.reading.ac.uk:10703
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