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

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.