IDEAS home Printed from https://ideas.repec.org/a/taf/repmxx/v5y1999i2p113-127.html
   My bibliography  Save this article

Serial Persistence in Disaggregated Australian Real Estate Returns

Author

Listed:
  • Richard Graff
  • Adrian Harrington
  • Michael Young

Abstract

Executive Summary. Serial persistence of total annual returns for all properties in the Property Council of Australia database is shown to be statistically significant in all quartiles of disaggregated returns between 1985 and 1997. More precisely, performance in a particular quartile is generally followed by continued performance in the same quartile. However, when grouped by property type, persistence differences emerge. Office and Retail properties show statistically significant persistence in the extreme (combined first and fourth) quartiles and moderate (combined second and third) quartiles but Industrial properties show serial independence in both the extreme and moderate quartiles. When Office properties are grouped by CBD and non-CBD locations, serial persistence exists in all quartiles for CBD Office properties but not for non-CBD Office properties. The empirical evidence of serial persistence among real estate returns in the Property Council of Australia database challenges the conclusions of research based upon models that incorporate the assumption of serial independence.

Suggested Citation

  • Richard Graff & Adrian Harrington & Michael Young, 1999. "Serial Persistence in Disaggregated Australian Real Estate Returns," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 5(2), pages 113-127, January.
    • Handle: RePEc:taf:repmxx:v:5:y:1999:i:2:p:113-127
    DOI: 10.1080/10835547.1999.12089576
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10835547.1999.12089576
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10835547.1999.12089576?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:repmxx:v:5:y:1999:i:2:p:113-127. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/repm20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.