An investigation of regime shifts in UK commercial property returns: a time series analysis

Date

2015-09-22

Advisors

Journal Title

Journal ISSN

ISSN

Volume Title

Publisher

Routledge

Type

Article

Peer reviewed

Yes

Abstract

The random-walk hypothesis, vis-à-vis asset price, suggests that prices traded in a market cannot be predicted based on historical information. Employing unsecuritized UK commercial property returns, we analyse this hypothesis by investigating regime shifts or multiple changes in persistence in the series. Our results uncover regime shifts in both the aggregate and sector-specific data. Specifically, the shifts are less frequent in the Industrial sector, compared to the Office, Retail and Aggregate returns data. We highlight some implications for academics, practitioners and regulators.

Description

Keywords

commercial real-estate, property returns, multiple changes in persistence, fractional integration

Citation

Coleman, S. and Leone, V. (2015) An investigation of regime shifts in UK commercial property returns: a time series analysis. Applied Economics, 47 (60), pp. 6479-6492

Rights

Research Institute

Finance and Banking Research Group (FiBRe)