Serial persistence in individual real estate returns in the UK

Devaney, S. ORCID: https://orcid.org/0000-0002-1916-2558, Lee, S. and Young, M. S. (2007) Serial persistence in individual real estate returns in the UK. Journal of Property Investment & Finance, 25. pp. 241-273. ISSN 1463-578X doi: 10.1108/14635780710746911

Abstract/Summary

Purpose – The purpose of this paper is to examine individual level property returns to see whether there is evidence of persistence in performance, i.e. a greater than expected probability of well (badly) performing properties continuing to perform well (badly) in subsequent periods. Design/methodology/approach – The same methodology originally used in Young and Graff is applied, making the results directly comparable with those for the US and Australian markets. However, it uses a much larger database covering all UK commercial property data available in the Investment Property Databank (IPD) for the years 1981 to 2002 – as many as 216,758 individual property returns. Findings – While the results of this study mimic the US and Australian results of greater persistence in the extreme first and fourth quartiles, they also evidence persistence in the moderate second and third quartiles, a notable departure from previous studies. Likewise patterns across property type, location, time, and holding period are remarkably similar. Research limitations/implications – The findings suggest that performance persistence is not a feature unique to particular markets, but instead may characterize most advanced real estate investment markets. Originality/value – As well as extending previous research geographically, the paper explores possible reasons for such persistence, consideration of which leads to the conjecture that behaviors in the practice of institutional-grade commercial real estate investment management may themselves be deeply rooted and persistent, and perhaps influenced for good or ill by agency effects. - See more at: http://www.emeraldinsight.com/journals.htm?articleid=1602884&show=abstract#sthash.hc2pCmC6.dpuf

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/29414
Identification Number/DOI	10.1108/14635780710746911
Refereed	Yes
Divisions	Henley Business School > Real Estate and Planning
Publisher	Emerald Group Publishing Limited
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