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Systematic Behavior in Real Estate Investment Risk: Performance Persistence in NCREIF Returns

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Abstract

Serial dependence of total annual returns in the NCREIF database is shown to be statistically significant in the first and fourth quartiles of disaggregated data between 1978 and 1994. More precisely, superior performance is generally followed by continued superior performance, and inferior performance is generally followed by continued inferior performance. In contrast, there is virtually no evidence to support serial dependence in the second or third quartiles, whether combined or taken separately. The empirical rejection of serial independence among real estate returns calls into question the conclusions of research based upon models that incorporate the assumption of serial independence.

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File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol12n03/v12p369.pdf
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Bibliographic Info

Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

Volume (Year): 12 (1996)
Issue (Month): 3 ()
Pages: 369-382

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Handle: RePEc:jre:issued:v:12:n:3:1996:p:369-382

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Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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Web page: http://www.aresnet.org/

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Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm

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  1. Liu, Crocker H & Hartzell, David J & Grissom, Terry V, 1992. "The Role of Co-skewness in the Pricing of Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 5(3), pages 299-319, September.
  2. Young, Michael S & Graff, Richard A, 1995. "Real Estate Is Not Normal: A Fresh Look at Real Estate Return Distributions," The Journal of Real Estate Finance and Economics, Springer, vol. 10(3), pages 225-59, May.
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Cited by:
  1. Camilo Serrano & Martin Hoesli, . "Are Securitized Real Estate Returns more Predictable than Stock Returns?," Swiss Finance Institute Research Paper Series 08-27, Swiss Finance Institute.
  2. Steven Devaney & Stephen Lee & Michael Young, 2004. "Serial Persistence in Individual Real Estate Returns in the UK," Real Estate & Planning Working Papers rep-wp2004-13, Henley Business School, Reading University.
  3. Simon Stevenson, 2002. "Momentum Effects and Mean Reversion in Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 47-64.

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