Commercial Real Estate Return Distributions: A Review of Literature and Empirical Evidence

Topics:
Regulations
Tags:
Business Operations,
Commercial Real Estate,
Distribution,
Financial Services,
Real Estate,
University Of Reading
Source:
University of Reading

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Overview: This paper reviews the literature on the distribution of commercial real estate returns. There is growing evidence that the assumption of normality in returns is not safe. Distributions are found to be peaked, fat-tailed and, tentatively, skewed. There is some evidence of compound distributions and non-linearity. Public traded real estate assets (such as property company or REIT shares) behave in a fashion more similar to other common stocks. However, as in equity markets, it would be unwise to assume normality uncritically.

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Format: PDF | Size: 166KB | Date: Jan 2001 | Pages: 37

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