Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents

Arbeitspapier

This study focuses on global real estate return distributions. For our analysis, we employ the class of stable distributions that has become prominent in the real estate literature. We add to the literature by undertaking a global-scale analysis for the first time. By using data since the early 1990s, we show that there is considerable variation in the tail weights of return distributions, both between countries as well as among sectors within the countries. It is important to note that the tail parameters vary over time as well. Our results strengthen the recently discovered notion about non-constant tail parameters in stable distributions, which contradicts earlier findings about constant tail parameters. Additionally, we argue that merely changes over time were to be discovered, rather than pure methodological facts driving the variation, which is in contrast to the initial assumption associated with constant tail parameters. Our results provide an extensive overview of the tailedness of global real estate markets and offer a comprehensive insight into differing market distributions.

Angaben zum Objekt

• ISBN: 978-3-86788-525-6
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Ruhr Economic Papers ; No. 465

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Crises ; General Financial Markets: General (includes Measurement and Data) ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: real estate return distributions ; stable distributions ; tail dependence

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Stein, Michael ; Piazolo, Daniel ; Stoyanov, Stoyan V.
• Ereignis: Veröffentlichung
• (wer): Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
• (wo): Essen
• (wann): 2013

Weitere Informationen

• DOI: doi:10.4419/86788525
• Handle: http://hdl.handle.net/10419/88914
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ