 |
| Systematic Behavior in Real Estate
Investment Risk: Performance Persistence in NCREIF Returns Author: Michael S. Young and Richard A. Graff Start Page: 369 Abstract: Serial dependence of
total annual returns in the NCREIF database is shown to be statistically significant in
the first and fourth quartiles of disaggregated data between 1978 and 1994. More
precisely, superior performance is generally followed by continued superior performance,
and inferior performance is generally followed by continued inferior performance. In
contrast, there is virtually no evidence to support serial dependence in the second or
third quartiles, whether combined or taken separately. The empirical rejection of serial
independence among real estate returns calls into question the conclusions of research
based upon models that incorporate the assumption of serial independence. |
