The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?

The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying? Previous research has shown that the returns on individual properties and listed property securities are skewed. This claim is investigated in the context of listed U.K. property companies and U.S. REITs. In particular, the shape of the conditional distribution of total monthly returns is examined for a group of 20 U.K. companies and 20 REITs. Also investigated is the claim that the skewness found in property returns varies over time. Using the model of Hansen (1994), it is found that while a large portion of property security returns in the sample do exhibit skewness in the conditional distribution only in a few instances is there time variation in the skewness parameter. There is little evidence to suggest that skewness is associated with the economic cycle. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Real Estate Finance and Economics Springer Journals

The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2003 by Kluwer Academic Publishers
Subject
Economics; Regional/Spatial Science; Financial Services
ISSN
0895-5638
eISSN
1573-045X
D.O.I.
10.1023/A:1022939127383
Publisher site
See Article on Publisher Site

Abstract

Previous research has shown that the returns on individual properties and listed property securities are skewed. This claim is investigated in the context of listed U.K. property companies and U.S. REITs. In particular, the shape of the conditional distribution of total monthly returns is examined for a group of 20 U.K. companies and 20 REITs. Also investigated is the claim that the skewness found in property returns varies over time. Using the model of Hansen (1994), it is found that while a large portion of property security returns in the sample do exhibit skewness in the conditional distribution only in a few instances is there time variation in the skewness parameter. There is little evidence to suggest that skewness is associated with the economic cycle.

Journal

The Journal of Real Estate Finance and EconomicsSpringer Journals

Published: Oct 4, 2004

References

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