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| The Shape of Australian Real Estate
Return Distributions and Comparisons to the United States Author: Richard A. Graff, Adrian Harrington, and Michael S. Young Start Page: 291 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. |
