Non-normal real estate return distributions by property type in the UK

Journal of Property Research

Volumn 23, Issue 2, 2006, Pages 109-133

  Young, Michael ^a   Lee, Stephen ^b   Devaney, Steven ^b  

^a University of Reading Business School ^*

^b UNIVERSITY OF READING   (United Kingdom)

Author keywords

Asset specific risk; Diversification; Non normality; Return distributions

Indexed keywords

INVESTMENT; LAND MARKET; RISK ASSESSMENT; RISK FACTOR;

EURASIA; EUROPE; UNITED KINGDOM; WESTERN EUROPE;

EID: 33746946051     PISSN: 09599916     EISSN: 14664453     Source Type: Journal    
DOI: 10.1080/09599910600800302     Document Type: Article

References (22)

1. Booth, P. M. and Matysiak, G. A. and Ormerod, P.(2002). In Risk Measurement and Management for Real Estate Investment Portfolios, Summary Report. London: Investment Property Forum Educational Trust.
2. Brown, G. R.(1991). In Property Investment and the Capital Markets. Chapman & Hall, London
3. Brown, G. R. and Matysiak, G. A.(2000). In Real Estate Investment: A Capital Market Approach. Harlow: Financial Times Prentice Hall.
4. Byrne, P. J. and Lee, S. L. (1997) Real Estate Portfolio Analysis Under Conditions of Non-Normality: The Case of NCREIF Journal of Real Estate Portfolio Management, 3((1)), pp. 37-46.
5. Byrne, P. J. and Lee, S. L. (2005) Different Risk Measures: Different Portfolio Compositions? Journal of Property Investment and Finance, 22((6)), pp. 501-511.
6. Coleman, M. S. and Mansour, A. (2005) Real Estate in the Real World: Dealing with Non-Normality and Risk in an Asset Allocation Model Journal of Real Estate Portfolio Management, 11((1)), pp. 37-54.
7. Cullen, I.(1991) Risk Management in Investment Property Portfolios. In. presented as part of the seminar series 'Property in a Portfolio Context' organized by the Society of Property Researchers and the RICS
8. Fama, E. F. (1965a) The Behavior of Stock Market Prices Journal of Business, 38((1)), pp. 34-105.
9. Fama, E. F. (1965b) Portfolio Analysis in a Stable Paretian Market Management Science, 11((3)), pp. 404-419.
10. Fama, E. F. and Miller, M. H.(1972). In The Theory of Finance. New York: Holt, Rinehart and Winston.
11. Graff, R. A. and Harrington, A. and Young, M. S. (1997) The Shape of Australian Real Estate Return Distributions and Comparisons to the United States Journal of Real Estate Research, 14((3)), pp. 291-308.
12. IPD.(2005). In IPD UK Annual Index. Investment Property Databank, London
13. Lee, S. L.(2002). In Volatility Persistence and Time-Varying Betas in the U.K. Real Estate Market. University of Reading: Working papers in real estate & planning 05/02.
14. Lizieri, C. M. and Ward, C. W. R.(2000) Commercial Real Estate Return Distributions: A Review of the Literature and Empirical Evidence. In Return Distributions in Finance. (pp. 47-74). Butterworth-Heinemann)
15. Maurer, R. and Reiner, F. and Sebastian, S. (2004) Characteristics of German Real Estate Return Distributions: Evidence from Germany and Comparisons to the US and UK Journal of Real Estate Portfolio Management, 10((1)), pp. 59-76.
16. McCulloch, J. H. (1986) Simple Consistent Estimators of Stable Distribution Parameters Communications in Statistics: Simulation and Computation, 15((4)), pp. 1109-1136.
17. Morrell, G. D. (1993) Value Weighting and the Variability of Real Estate Returns: Implications for Portfolio Construction and Performance Evaluation Journal of Property Research, 10((3)), pp. 167-183.
18. Morrell, G. D.(1997).. In Property Risk and Portfolio Construction [pp.]. presented to the Sixth IPD Investment Strategies Conference, Brighton, 27-28 November 1997
19. Myer, F. C. N. and Webb, J. R. (1994) Statistical Properties of Returns: Financial Assets versus Commercial Real Estate Journal of Real Estate Finance and Economics, 8((3)), pp. 267-282.
20. Schuck, E. J. and Brown, G. R. (1997) Value Weighting and Real Estate Portfolio Risk Journal of Property Research, 14((3)), pp. 169-187.
21. Young, M. S. and Graff, R. A. (1995) Real Estate Is Not Normal: A Fresh Look at Real Estate Return Distributions Journal of Real Estate Finance and Economics, 10((3)), pp. 225-259.
22. Young, M. S.(2005).. In Non-Normal Real Estate Return Distributions by Property Type in the U.S [pp.]. Paper presented at ARES Annual Meeting, Santa Fe, New Mexico