The inter-temporal stability of real estate returns: an empirical investigation


Autoria(s): Lee, Stephen
Data(s)

1998

Resumo

This paper examines one of the central issues in the formulation of a sector/regional real estate portfolio strategy, i.e. whether the means, standard deviations and correlations between the returns are sufficiently stable over time to justify using ex-post measures as proxies of the ex-ante portfolio inputs required for MPT. To investigate these issues this study conducts a number of tests of the inter-temporal stability of the total returns of the 19 sector/regions in the UK of the IPDMI. The results of the analysis reveal that the theoretical gains in sector and or regional diversification, found in previous work, could not have been readily achieved in practice without almost perfect foresight on the part of an investor as means, standard deviations and correlations, varied markedly from period to period.

Formato

text

Identificador

http://centaur.reading.ac.uk/27229/1/0498.pdf

Lee, S. <http://centaur.reading.ac.uk/view/creators/90001219.html>, (1998) The inter-temporal stability of real estate returns: an empirical investigation. Working Papers in Land Management & Development. 04/98. Working Paper. University of Reading, Reading. pp23.

Idioma(s)

en

Publicador

University of Reading

Relação

http://centaur.reading.ac.uk/27229/

creatorInternal Lee, Stephen

Tipo

Report

NonPeerReviewed