The Shape of Australian Real Estate Return Distributions and Comparisons to the United States

Richard A. Graff, Adrian Harrington and Michael Young
Additional contact information
Richard A. Graff: Electrum Partners 400 North Michigan Avenue, Suite 415 Chicago, Illinois 60611, http://www.collegeofbusiness.fau.edu/
Adrian Harrington: Property Council of Australia Australia Square, Level 26 264-278 George Street Sydney, NSW 2000 Australia, http://www.propertyoz.com.au/

Journal of Real Estate Research, 1997, vol. 14, issue 3, 291-308

Abstract: Investment risk models with variance provide a better description of distribution of individual property returns in the Property Council of Australia data base from 1985 to 1996 than normally distributed risk models. The shape of the distribution of Australian property returns is virtually indistinguishable from the shape of United States property returns in the NCREIF Property Index for the years 1980 to 1992. Australian real estate investment risk is heteroscedastic, like its US counterpart, but the characteristic exponent of the investment risk function is constant across time and property type. It follows that portfolio management and asset diversification techniques that rely upon finite-variance statistics are as ineffectual for the Australian real estate market as they have been found to be for the United States.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (11)

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