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dc.contributor.authorLeone, Vitoren
dc.contributor.authorColeman, Simeonen
dc.date.accessioned2017-03-06T16:07:32Z
dc.date.available2017-03-06T16:07:32Z
dc.date.issued2015-09-22
dc.identifier.citationColeman, S. and Leone, V. (2015) An investigation of regime shifts in UK commercial property returns: a time series analysis. Applied Economics, 47 (60), pp. 6479-6492en
dc.identifier.urihttp://hdl.handle.net/2086/13424
dc.description.abstractThe random-walk hypothesis, vis-à-vis asset price, suggests that prices traded in a market cannot be predicted based on historical information. Employing unsecuritized UK commercial property returns, we analyse this hypothesis by investigating regime shifts or multiple changes in persistence in the series. Our results uncover regime shifts in both the aggregate and sector-specific data. Specifically, the shifts are less frequent in the Industrial sector, compared to the Office, Retail and Aggregate returns data. We highlight some implications for academics, practitioners and regulators.en
dc.language.isoenen
dc.publisherRoutledgeen
dc.subjectcommercial real-estateen
dc.subjectproperty returnsen
dc.subjectmultiple changes in persistenceen
dc.subjectfractional integrationen
dc.titleAn investigation of regime shifts in UK commercial property returns: a time series analysisen
dc.typeArticleen
dc.identifier.doihttp://dx.doi.org/10.1080/00036846.2015.1080805
dc.researchgroupFiBReen
dc.peerreviewedYesen
dc.explorer.multimediaNoen
dc.funderN/Aen
dc.projectidN/Aen
dc.cclicenceN/Aen
dc.date.acceptance2015-09-22en


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