An investigation of regime shifts in UK commercial property returns: a time series analysis

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dc.contributor.author Leone, Vitor en
dc.contributor.author Coleman, Simeon en
dc.date.accessioned 2017-03-06T16:07:32Z
dc.date.available 2017-03-06T16:07:32Z
dc.date.issued 2015-09-22
dc.identifier.citation Coleman, S. and Leone, V. (2015) An investigation of regime shifts in UK commercial property returns: a time series analysis. Applied Economics, 47 (60), pp. 6479-6492 en
dc.identifier.uri http://hdl.handle.net/2086/13424
dc.description.abstract The 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.iso en en
dc.publisher Routledge en
dc.subject commercial real-estate en
dc.subject property returns en
dc.subject multiple changes in persistence en
dc.subject fractional integration en
dc.title An investigation of regime shifts in UK commercial property returns: a time series analysis en
dc.type Article en
dc.identifier.doi http://dx.doi.org/10.1080/00036846.2015.1080805
dc.researchgroup FiBRe en
dc.peerreviewed Yes en
dc.explorer.multimedia No en
dc.funder N/A en
dc.projectid N/A en
dc.cclicence N/A en
dc.date.acceptance 2015-09-22 en


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