TY  - JOUR
AU  - Hendershott,Patric H.
AU  - MacGregor,Bryan D.
TI  - Investor Rationality: Evidence from UK Property Capitalization Rates
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9894
PY  - 2003
Y2  - August 2003
UR  - http://www.nber.org/papers/w9894
L1  - http://www.nber.org/papers/w9894.pdf
N1  - Author contact info:
Patric H. Hendershott
Fisher Hall
Ohio State University
2100 Neil Avenue
Columbus, OH 43210
Tel: 218/963-1393
Fax: 218/963-9484
E-Mail: hendershott.2@osu.edu
AB  - Recent analyses have suggested the irrationality of investors in Australian and U.S. office properties.  More specifically, investors have failed to raise capitalization rates sufficiently at rental cyclical peaks to account for the obvious mean reversion in real rents and thus have significantly overvalued properties.  In this paper we analyze the determination of UK office and retail capitalization rates and provide evidence that these rates reflect rational expectations of mean reversion in future real cash flows.  Moreover, these rates are linked to capitalization rates (dividend/price ratio) and expected dividend earnings growth as expected.
ER  -