Style Analysis in Real Estate Markets and the Construction of Value and Growth Indexes

Executive Summary. Style analysis in equity markets is becoming more appealing to real estate investors. However, the literature in this sector generally uses either equity indexes (United States), or regional and sector ones (United Kingdom) to explain performances of real estate vehicles. This is a problem, mostly due to the lack of “proper” real estate style indexes. This paper suggests a quantitative model to decide the best criterion to breakdown a sample in order to create style indexes in real estate markets. The empirical analysis uses the Jones Lang LaSalle valuation database (4,004 properties) and ranks properties by their own equivalent yield. The findings indicate “median” as the most appropriate method to split the sample.