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Statistical properties of returns: Financial assets versus commercial real estate
Authors:F C Neil Myer  James R Webb
Institution:(1) Department of Finance, James J. Nance College of Business Administration, Cleveland State University, 44115 Cleveland, Ohio;(2) Real Estate Research Center, Department of Finance, James J. Nance College of Business Administration, Cleveland State University, 44115 Cleveland, Ohio
Abstract:This study examines the distribution of commercial real estate returns by region (east, midwest, south, and west), by property type (office, retail, R&D office, and warehouse) and in the aggregate, and compares their distributions to those of financial assets. Nominal and real returns are examined for quarterly, semiannual, and annual periods. The quarterly nominal returns on the financial assets are mostly normal with very little indication of autocorrelation. In contrast, non-normality and autocorrelation are present in most of the nominal quarterly real estate series. The non-normality is greatly reduced when semiannual or annual returns are considered or when the quarterly series are corrected for autocorrelation. The non-normality is also lower for real returns than it is for nominal returns.
Keywords:Commercial real estate  distribution of returns  autocorrelation
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