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Tail parameters of stable distributions using one million observations of real estate returns from fi.ve continents

Author

Listed:
  • Michael Stein

    (University of Duisburg-Essen Germany)

  • Daniel Piazolo

    (IPD Investment Property Databank GmbH Germany)

  • Stoyan V. Stoyanov

    (EDHEC Business School Singapore)

Abstract

This study focuses on global real estate return distributions. For our analysis, we employ the class of stable distributions that has become prominent in the real estate literature. We add to the literature by undertaking a global-scale analysis for the .rst time. By using data since the early 1990s, we show that there is considerable variation in the tail weights of return distributions, both between countries as well as among sectors within the countries. It is important to note that the tail parameters vary over time as well. Our results strengthen the notion of non-constant tail parameters in stable distributions that followed earlier .ndings of constant tail parameters. In addition, our results provide evidence that it is merely the time-horizon that causes variation in parameters, than purely methodological differences.

Suggested Citation

  • Michael Stein & Daniel Piazolo & Stoyan V. Stoyanov, 2015. "Tail parameters of stable distributions using one million observations of real estate returns from fi.ve continents," Journal of Real Estate Research, American Real Estate Society, vol. 37(2), pages 245-280.
    • Handle: RePEc:jre:issued:v:37:n:2:2015:p:245-280
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    Cited by:

    1. Ewelina Badura, 2020. "Investing in Real Estate - Legal Risks," MIC 2020: The 20th Management International Conference,, University of Primorska Press.
    2. Carsten Lausberg & Stephen Lee & Moritz Müller & Cay Oertel & Tobias Schultheiß, 2020. "Risk measures for direct real estate investments with non-normal or unknown return distributions," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 6(1), pages 3-27, April.

    More about this item

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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