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

Simple item page
dc.cclicenceN/Aen
dc.contributor.authorLeone, Vitoren
dc.contributor.authorColeman, Simeonen
dc.date.acceptance2015-09-22en
dc.date.accessioned2017-03-06T16:07:32Z
dc.date.available2017-03-06T16:07:32Z
dc.date.issued2015-09-22
dc.description.abstractThe 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.en
dc.explorer.multimediaNoen
dc.funderN/Aen
dc.identifier.citationColeman, S. and Leone, V. (2015) An investigation of regime shifts in UK commercial property returns: a time series analysis. Applied Economics, 47 (60), pp. 6479-6492en
dc.identifier.doihttps://doi.org/10.1080/00036846.2015.1080805
dc.identifier.urihttp://hdl.handle.net/2086/13424
dc.language.isoenen
dc.peerreviewedYesen
dc.projectidN/Aen
dc.publisherRoutledgeen
dc.researchgroupFiBReen
dc.researchinstituteFinance and Banking Research Group (FiBRe)en
dc.subjectcommercial real-estateen
dc.subjectproperty returnsen
dc.subjectmultiple changes in persistenceen
dc.subjectfractional integrationen
dc.titleAn investigation of regime shifts in UK commercial property returns: a time series analysisen
dc.typeArticleen

Files

License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
4.2 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

School of Accounting, Finance and Economics