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Volatility persistence and time-varying betas in the UK real estate market

Lee, S., (2002) Volatility persistence and time-varying betas in the UK real estate market. Working Papers in Land Management & Development. 05/02. Working Paper. University of Reading, Reading. pp18.

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This paper investigates the degree of return volatility persistence and the time-varying behaviour of systematic risk (beta) for 31 market segments in the UK real estate market. The findings suggest that different property types exhibit differences in volatility persistence and time variability. There is also evidence that the volatility persistence of each market segment and its systematic risk are significantly positively related. Thus, the systematic risks of different property types tend to move in different directions during periods of increased market volatility. Finally, the market segments with systematic risks less than one tend to show negative time variability, while market segments with systematic risk greater than one generally show positive time variability, indicating a positive relationship between the volatility of the market and the systematic risk of individual market segments. Consequently safer and riskier market segments are affected differently by increases in market volatility.

Item Type:Report (Working Paper)
Divisions:Henley Business School > Real Estate and Planning
ID Code:27106
Publisher:University of Reading
Publisher Statement:The copyright of each working paper remains with the author. If you wish to quote from or cite any paper please contact the appropriate author; in some cases a more recent version of the paper may have been published elsewhere.


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