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Using Arbitrage Pricing Theory To Analyse UK and USA Property Cycle Differences. European Real Estate Society Stockholm, Sweden June 2009 Terry V. Grissom Ph.D.* Jasmine L.C. Lim Ph.D.* James L. DeLisle Ph.D.** *School of the Built Environment University of Ulster, Jordanstown
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Using Arbitrage Pricing Theory To Analyse UK and USA Property Cycle Differences
European Real Estate Society
Stockholm, Sweden
June 2009
Terry V. Grissom Ph.D.*
Jasmine L.C. Lim Ph.D.*
James L. DeLisle Ph.D.**
*School of the Built Environment University of Ulster, Jordanstown
**College of Built Environments University of Washington, Seattle
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1
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.04
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1980
1985
1990
1995
2000
2005
2010
APT (UK) with Expected risk free rate and US Property Performance
R2 = 65.66
Intercept & Beta
t statistic
APT (UK) with Expected Zero Beta reflecting US Property Performance
R2 = 65.66
0.022861 + 0.199716()  1.101734(U) + 0.021012() + 0.029849() +0.244874RitUS
1.897037 0.652772 4.355030 0.164764 0.564750 2.099157
Intercept & Beta
t statistic
(0.070599) 0.199716()  1.101734(U) + 0.021012() + 0.029849() +0.244874RitUS
1.897037 0.652772  4.355030 0.164764 0.564750 2.099157
KnotE(Rit)
coefficient
Recessionary Spline
tStatistic
R2
value
UK
198891
2.0958
5.5915
97.95
0.0000
199495
19.1563
1.6583
88.91
0.1358
199899
2.3055
1.1847
40.31
0.2738
200102
0.9952
31.8677
98.70
0.0000
200709
3.7072
1.2936
51.83
0.9465
US
199091
1.4878
5.6030
86.07
0.0000
200102
3.6434
6.0746
80.45
0.0000
200709
0.3499
1.1229
75.62
0.2818