Abstract:
The structure of securitised property markets
offers investors the opportunity for short term
gains compared with the long-term horizon
for direct property investments. These potential
financial benefits can be exploited by
using forecasting techniques which can provide
regular superior short-term forecasts.
This research utilises the Australian accumulative
Listed Property Trust (LPT)index, to critically
evaluates weekly out-of-sample forecasts
from three basic, and two advanced,
forecast methods over a six-year period from
1998 to 2003. The forecast accuracy of the
models yielded similar results, showing poor
indication of future short-term accumulative
LPT index performance. The forecasts were
unable to predict, one week in advance, the
direction of the accumulative LPT index.
The advanced Holt-Winters Exponential
Smoothing model was the preferred forecast
model by a small margin.
A better understanding of the short-term
movement in LPT performance will lead to
improved accuracy of forecasting models
and provide added value to an area of property
research which should form an integral
part of the decision-making process in the
securitised property markets.
