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

Michael Stein, Daniel Piazolo and Stoyan V. Stoyanov

No 465, Ruhr Economic Papers from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen

Abstract: 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.

Keywords: real estate return distributions; stable distributions; tail dependence (search for similar items in EconPapers)
JEL-codes: G01 G10 G12 (search for similar items in EconPapers)
Date: 2013
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Related works:
Journal Article: Tail parameters of stable distributions using one million observations of real estate returns from fi.ve continents (2015)
Journal Article: Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:rwirep:465

DOI: 10.4419/86788525

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