| The Journal of Real Estate Finance and Economics | |
| Volume 26, Issue 2, Article 9 (Abstract) | |
| Title: | The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying? |
| Author: | Shaun A. Bond and Kanak Patel |
| Abstract: | Previous research has shown that the returns on individual properties and listed property securities are skewed. This claim is investigated in the context of listed UK property companies and US REITs. In particular, the shape of the conditional distribution of total monthly returns is examined for a group of 20 UK companies and 20 REITs. Also investigated is the claim that the skewness found in property returns varies over time. Using the model of Hansen (1994) it is found that while a large portion of property security returns in the sample do exhibit skewness in the conditional distribution only in a few instances is there time variation in the skewness parameter. There is little evidence to suggest that skewness is associated with the economic cycle. |
| Keywords: | conditional skewness, commercial property returns, GARCH, lower partial moments |