The stability of the co-movements between real estate returns in the UK
Language: English Series: Journal of Property Investment and Finance ; 24(5) 2006, 434-442(9)Publication details: 2006Subject(s): Summary: Looks at how useful ex-post data is as a proxy for ex-ante returns in the portfolio problem. The degree of usefulness depends on the stability of the co-movement between returns. Examines the temporal stability of covariance and correlation matrices and individual correlation coefficients using the Box M tests and the methodology of Shaked using monthly real estate data in the UK. Finds that the stability increases consistently and substantially with the lengthening of the investment horizon and holding period. Tables. [Taken from journal abstract].| Item type | Current library | Call number | Copy number | Status | Barcode | |
|---|---|---|---|---|---|---|
| Journal article | London Journal article | L134586 (Browse shelf(Opens below)) | 1 | Available | 134586-1001 |
Looks at how useful ex-post data is as a proxy for ex-ante returns in the portfolio problem. The degree of usefulness depends on the stability of the co-movement between returns. Examines the temporal stability of covariance and correlation matrices and individual correlation coefficients using the Box M tests and the methodology of Shaked using monthly real estate data in the UK. Finds that the stability increases consistently and substantially with the lengthening of the investment horizon and holding period. Tables. [Taken from journal abstract].