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Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence

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  • Simeon Coleman Author name: Vitor Leone

Abstract

The random-walk hypothesis of asset prices suggests that prices traded in a market cannot be predicted based on historical information. Employing unsecuritized UK commercial property returns, we analyze this hypothesis. Our results uncover multiple changes in persistence in both aggregate and sectorial data. We discuss some implications for academics, practitioners and regulators.

Suggested Citation

  • Simeon Coleman Author name: Vitor Leone, 2012. "Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence," NBS Discussion Papers in Economics 2012/03, Economics, Nottingham Business School, Nottingham Trent University.
    • Handle: RePEc:nbs:wpaper:2012/03
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    References listed on IDEAS

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    More about this item

    Keywords

    Multiple changes in persistence; commercial property returns.;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G00 - Financial Economics - - General - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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