Remember Me
Or use your Academic/Social account:


Or use your Academic/Social account:


You have just completed your registration at OpenAire.

Before you can login to the site, you will need to activate your account. An e-mail will be sent to you with the proper instructions.


Please note that this site is currently undergoing Beta testing.
Any new content you create is not guaranteed to be present to the final version of the site upon release.

Thank you for your patience,
OpenAire Dev Team.

Close This Message


Verify Password:
Verify E-mail:
*All Fields Are Required.
Please Verify You Are Human:
fbtwitterlinkedinvimeoflicker grey 14rssslideshare1
Papastamos, Dimitrios; Stevenson, Simon; Matysiak, George (2015)
Publisher: Elsevier
Languages: English
Types: Article
Existing empirical evidence has frequently observed that professional forecasters are conservative and display herding behaviour. Whilst a large number of papers have considered equities as well as macroeconomic series, few have considered the accuracy of forecasts in alternative asset classes such as real estate. We consider the accuracy of forecasts for the UK commercial real estate market over the period 1999-2011. The results illustrate that forecasters display a tendency to under-estimate growth rates during strong market conditions and over-estimate when the market is performing poorly. This conservatism not only results in smoothed estimates but also implies that forecasters display herding behaviour. There is also a marked difference in the relative accuracy of capital and total returns versus rental figures. Whilst rental growth forecasts are relatively accurate, considerable inaccuracy is observed with respect to capital value and total returns.
  • The results below are discovered through our pilot algorithms. Let us know how we are doing!

    • Ager, P., Kappler, M. & Osterloh, S. (2009). The Accuracy and Efficiency of the Consensus Forecasts: A Further Application and Extension of the Pooled Approach, International Journal of Forecasting, 25, 167-181.
    • Barber, B.M., Lehavy, R. & Trueman, B. (2007). Comparing the Stock Recommendation Performance of Investment Banks and Independent Research Firms, Journal of Financial Economics, 85, 490-517.
    • Batchelor, R. (2007). Bias in Macroeconomic Forecasts, International Journal of Forecasting, 23, 189-203.
    • Batchelor, R. & Dua, P. (1991). Blue Chip Rationality Tests, Journal of Money Credit and Banking, 23, 692-705.
    • Bernhardt, D., Campello, M. & Kustoati, E. (2006). Who Herds?, Journal of Financial Economics, 80, 657-675.
    • Bond, S. & Mitchell, P. (2011). The Information Content of Real Estate Derivative Prices, Journal of Portfolio Management, Special Real Estate Issue, 170-181.
    • Clarke, J., Ferris, S.P., Jayaraman, N. & Lee, J. (2006). Are Analyst Recommendations Biased? Evidence from Corporate Bankruptcies, Journal of Financial and Quantitative Analysis, 41, 169-196.
    • Clarke, J. & Subramanian, A. (2006). Dynamic Forecasting Behaviour by Analysts: Theory and Evidence, Journal of Financial Economics, 80, 81-113.
    • Clement, M.B., Hales, J. & Xue, Y. (2011). Understanding Analysts use of Stock Returns and Other Analysts Revisions when Forecasting Earnings, Journal of Accounting and Economics, 51, 279-299.
    • Clements, M. (2014). Do US Macroeconomic Forecasters Exaggerate their Differences?, working paper, ICMA Centre, University of Reading.
    • Clements, M., Joutz, F. & Stekler, H.O. (2007). An Evaluation of the Forecasts of the Federal Reserve: A Pooled Approach, Journal of Applied Econometrics, 22, 121-136.
    • Cooper, R.A., Day, T.E. & Lewis, C.M. (2001). Following the Leader: A Study of Individual Analysts' Earnings Forecasts, Journal of Financial Economics, 61, 383-416.
    • Cowen, A., Groysberg, B. & Healy, P. (2006). Which Types of Analyst Firms are More Optimistic?, Journal of Accounting and Economics, 41, 119-146.
    • Dechow, P.M., Hutton, A.P. & Sloan, R.G. (2000). The Relation Between Analyst Forecasts of Long Term Earnings Growth and Stock Price Performance Following Equity Offerings, Contemporary Accounting Research, 17, 1-32.
    • Diebold, F. & Mariano, R. (1995). Comparing Predictive Accuracy, Journal of Business & Economic Statistics, 13, 135-144.
    • Donihue, M.R. (1993). Evaluating the Role Judgment Plays in Forecast Accuracy, Journal of Forecasting, 12, 81-92.
    • Dovern, J., Fritsche, U. & Slacalek, J. (2012). Disagreement Among Forecasters in G7 Countries, The Review of Economics and Statistics, 94, 1081-1096.
    • Dovern, J. & Weisser, J. (2011). Accuracy, Unbiasedness and Efficiency of Professional Macroeconomic Forecasts: An Empirical Comparison for the G7, International Journal of Forecasting, 27, 452-465.
    • Ehrbeck, T. & Waldmann, R. (1996). Why are Professional Forecasts Biased? Agency Versus Behavioral Explanations, Quarterly Journal of Economics, 111, 21.40.
    • Elliot, G., Komunjer, I. & Timmermann, A. (2008). Biases in Macroeconomic Forecasters: Irrationality or Asymmetric Loss?, Journal of the European Economic Association, 6, 122-157.
    • Fintzen, D. & Stekler, H.O. (1999). Why Did Forecasters Fail to Predict the 1990 Recession?, International Journal of Forecasting, 15, 309-323.
    • Gallimore, P. & McAllister, P. (2005). Expert Judgement in the Processes of Commercial Property Market Forecasting, Journal of Property Research, 21, 337-360.
    • Geltner, D. (1991). Smoothing in Appraisal Based Returns, Journal of Real Estate Finance & Economics, 4, 327-345.
    • Geltner, D. (1993). Temporal Aggregation in Real Estate Return Indices, AREUEA Journal, 21, 141- 166.
    • Gjaltema, A. (2001). Judgment in (Population) Forecasting, Paper presented at European Population Conference, Helsinki 2001.
    • Granger, C. & Pesaran, H. (1999). Economic and Statistical Measures of Forecast Accuracy, Journal of Forecasting, 19, 537-560.
    • Hendry, D. & Clements, M. (2003). Economic Forecasting: Some Lessons from Recent Research, Economic Modeling, 20, 301-329.
    • Hong, H. & Kubik, J.D. (2003). Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts, Journal of Finance, 58, 313-351.
    • Isiklar, G., Lahiri, K. & Loungani, P. (2006). How Quickly do Forecasters Incorporate News? Evidence from Cross-Country Surveys, Journal of Applied Econometrics, 21, 703-725.
    • Isiklar, G. & Lahiri, K. (2007). How Far Ahead Can We Forecast? Evidence from Cross-Country Surveys, International Journal of Forecasting, 23, 167-187.
    • Jonung, L. & Larch, M. (2006). Improving Fiscal Policy in the EU. The Case for Independent Forecasts, Economic Policy, 21, 491-534.
    • Jung, B., Shane, P.B. & Yang, Y.S. (2012). Do Financial Analysts' Long-Term Growth Forecasts Matter? Evidence from Stock Recommendations and Career Outcomes, Journal of Accounting and Economics, 53, 55-76.
    • Kim, Y., Lobo, G.J. & Song, M. (2011). Analyst Characteristics, Timing of Forecast Revisions and Analyst Forecasting Ability, Journal of Banking & Finance, 35, 2158-2168.
    • Lahiri, K. & Sheng, X. (2008). Evolution of Forecast Disagreement in a Bayesian Learning Model, Journal of Econometrics, 144, 325-340 Lahiri, K. & Sheng, X. (2010). Measuring Forecast Uncertainty by Disagreement: The Missing Link, Journal of Applied Econometrics, 25, 514-538 Lamont, O.A. (2002). Macroeconomic Forecasts and Microeconomic Forecasters. Journal of Economic Behavior & Organization, 48, 265-280.
    • Laster, D., Bennett, P. & Geoum, I. (1999) Rational Bias in Macroeconomic Forecasts, Quarterly Journal of Economics, 114, 293-318.
    • Lawrence, M., Goodwin, P., O'Connor, M. & Onkal, D. (2006). Judgmental Forecasting: A Review of Progress over the Last 25 Years, International Journal of Forecasting, 22, 493-518.
    • Linden, S. (2003). Assessment of GDP Forecast Uncertainty, European Commission Economic Papers.
    • Ling, D. (2005). A Random Walk Down Main Street: Can Experts Predict Returns on Commercial Real Estate? Journal of Real Estate Research, 27, 137-154.
    • McAllister, P., Newell, G. & Matysiak, G. (2008). Agreement and Accuracy in Consensus Forecasts of the UK Commercial Property Market, Journal of Property Research, 25, 1-22.
    • McNees, S.K. (1990). The Role of Judgment in Macroeconomic Forecasting Accuracy, International Journal of Forecasting, 6, 287-299.
  • No related research data.
  • No similar publications.

Share - Bookmark

Cite this article