5
Views
5
CrossRef citations to date
0
Altmetric
Research Articles

Real Estate Return Distributions Using Maximum Likelihood Estimation: New Technology, New Results

&
Pages 23-41 | Published online: 18 Jun 2020

  • Brown, R.J. Return Distribution of Private Real Estate Investments. Pennsylvania State University, University Park, PA, May 2000. Return Distribution of Private Real Estate Investments
  • Brown, R.J. Risk and Private Real Estate Investments. Journal of Real Estate Portfolio Management, 2004, 10:2, 113-28. Risk and Private Real Estate Investments Journal of Real Estate Portfolio Management 10 113 28
  • Brown, R.J. and M.S. Young. Coherent Risk Measures in Real Estate Investment. Journal of Property Investment & Finance, 2011, 29:4/5, 479-93. Coherent Risk Measures in Real Estate Investment Journal of Property Investment & Finance 29 479 93
  • Coleman, M.S. and A. Mansour. Real Estate in the Real World: Dealing with Non-Normality and Risk in an Asset Allocaton Model. Journal of Real Estate Portfolio Management, 2005, 11:1, 37-54. Real Estate in the Real World: Dealing with Non-Normality and Risk in an Asset Allocaton Model Journal of Real Estate Portfolio Management 11 37 54
  • Devaney, S.P., S.L. Lee, and M.S. Young. Serial Persistence in Individual Real Estate Returns in the U.K. Journal of Property Investment & Finance, 2007, 25:3, 241-73. Serial Persistence in Individual Real Estate Returns in the U.K. Journal of Property Investment & Finance 25 241 73
  • Fama, E.F. and M.H. Miller. The Theory of Finance. Holt, Rinehart and Winston: New York, 1972. The Theory of Finance
  • Fama, E.F. and R. Roll. Some Properties of Symmetric Stable Distributions. Journal of the American Statistical Association, 1968, 63, 817-836. Some Properties of Symmetric Stable Distributions Journal of the American Statistical Association 63 817 836
  • Fama, E.F. and R. Roll. Parameter Estimates for Symmetric Stable Distributions. Journal of the American Statistical Association, 1971, 66, 331-38. Parameter Estimates for Symmetric Stable Distributions Journal of the American Statistical Association 66 331 38
  • Fisher, L. and J.H. Lorie. Rates of Return on Investments in Common Stocks. Journal of Business, 1964, 37:1, 1-21. Rates of Return on Investments in Common Stocks Journal of Business 37 1 21
  • Graff, R.A., A. Harrington, and M.S. Young. The Shape of Australian Real Estate Return Distributions and Comparisons to the United States. Journal of Real Estate Research, 1997, 14:3, 291-308. The Shape of Australian Real Estate Return Distributions and Comparisons to the United States Journal of Real Estate Research 14 291 308
  • Graham, B. and D. Dodd. Security Analysis. New York: Whittlesey House (McGraw-Hill), 1934. Security Analysis
  • Lintner, J. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 1965, 47:1, 13-37. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets Review of Economics and Statistics 47 13 37
  • Mandelbrot, B. The Variation of Certain Speculative Prices. Journal of Business, 1963a, 36:4, 394-419. The Variation of Certain Speculative Prices Journal of Business 36 394 419
  • Mandelbrot, B. New Methods in Statistical Economics. Journal of Political Economy, 1963b, 71:5, 421-40. New Methods in Statistical Economics Journal of Political Economy 71 421 40
  • Markowitz, H.M. Portfolio Selection. Journal of Finance, 1952, 7:1, 77-91. Portfolio Selection Journal of Finance 7 77 91
  • McCulloch, J.H. Simple Consistent Estimators of Stable Distribution Parameters. Communications in Statistics: Simulation and Computation, 1986, 15, 1109-36. Simple Consistent Estimators of Stable Distribution Parameters Communications in Statistics: Simulation and Computation 15 1109 36
  • Mossin, J. Equilibrium in a Capital Asset Market. Econometrica, 1966, 34:4, 768-83. Equilibrium in a Capital Asset Market Econometrica 34 768 83
  • Nolan, J.P. Numerical Calculation of Stable Densities and Distribution Functions. Communications in Statistics—Stochastic Models, 1997, 13:4, 759-74. Numerical Calculation of Stable Densities and Distribution Functions Communications in Statistics—Stochastic Models 13 759 74
  • Nolan, J.P. Maximum Likelihood Estimation and Diagnostics for Stable Distributions. Working Paper, 1998.
  • Nolan, J.P. Bibliography on Stable Distributions, Processes and Related Topics. Working Paper, 2003, revised 2011.
  • Nolan, J.P. Modeling Financial Data with Stable Distributions. Working Paper, 2005.
  • Richter, J., M. Thomas, and R. Fuss. German Real Estate Return Distributions: Is There Anything Normal? Journal of Real Estate Portfolio Management, 2011, 17:2, 161-79. German Real Estate Return Distributions: Is There Anything Normal? Journal of Real Estate Portfolio Management 17 161 79
  • Sharpe, W.F. Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance, 1964, 19:3, 425-42. Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk Journal of Finance 19 425 42
  • Sharpe, W.F. Portfolio Theory and Capital Markets. New York: McGraw-Hill, 1970. Portfolio Theory and Capital Markets
  • Treynor, J.L. Market Value, Time, and Risk. Unpublished manuscript, 1961.
  • Treynor, J.L. Toward a Theory of Market Value of Risky Assets. Unpublished manuscript, 1962. Final version published in 1999 in Asset Pricing and Portfolio Performance Models, Strategy and Performance Metrics, Korajczyk, R.A. (ed.), Risk Books: London, 15-22.
  • Williams, J.B. The Theory of Investment Value. Cambridge: Harvard University Press, 1938. The Theory of Investment Value
  • Young, M.S. Revisiting Non-Normal Real Estate Return Distributions by Property Type in the U.S. Journal of Real Estate Finance and Economics, 2008, 36:2, 233-48. Revisiting Non-Normal Real Estate Return Distributions by Property Type in the U.S. Journal of Real Estate Finance and Economics 36 233 48
  • Young, M.S., S.L. Lee, and S.P. Devaney. Non-Normal Real Estate Return Distributions by Property Type in the U.K. Journal of Property Research, 2006, 23:2, 109-33. Non-Normal Real Estate Return Distributions by Property Type in the U.K. Journal of Property Research 23 109 33
  • Young, M.S. and R.A. Graff. Real Estate Is Not Normal: A Fresh Look at Real Estate Return Distributions. Journal of Real Estate Finance and Economics, 1995, 10:3, 225-59. Real Estate Is Not Normal: A Fresh Look at Real Estate Return Distributions Journal of Real Estate Finance and Economics 10 225 59
  • Young, M.S. Systematic Behavior in Real Estate Investment Risk: Performance Persistence in NCREIF Returns. Journal of Real Estate Research, 1996, 12:3, 369-81. Systematic Behavior in Real Estate Investment Risk: Performance Persistence in NCREIF Returns Journal of Real Estate Research 12 369 81

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.