IDEAS home Printed from https://ideas.repec.org/a/kap/jrefec/v10y1995i3p225-59.html
   My bibliography  Save this article

Real Estate Is Not Normal: A Fresh Look at Real Estate Return Distributions

Author

Listed:
  • Young, Michael S
  • Graff, Richard A

Abstract

Investment risk models with infinite variance provide a better description of distributions of individual property returns in the Russell-NCREIF data base from 1980 to 1992 than normally distributed risk models. Real estate investment risk is heteroscedastic, but the characteristic exponent of the investment risk function is constant across time and property type. Asset diversification is far less effective at reducing the impact of nonsystematic investment risk on real estate portfolios than in the case of assets with normally distributed investment risk. Multirisk factor portfolio allocation models based on measures of investment codependence from finite-variance statistics are ineffectual the real estate context. Copyright 1995 by Kluwer Academic Publishers

Suggested Citation

  • 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 225-259, May.
    • Handle: RePEc:kap:jrefec:v:10:y:1995:i:3:p:225-59
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:10:y:1995:i:3:p:225-59. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.