TY - JOUR
T1 - The Fractal Structure of Real Estate Investment Trust Returns
T2 - The Search for Evidence of Market Segmentation and Nonlinear Dependency
AU - Ambrose, Brent W.
AU - Ancel, Esther
AU - Griffiths, Mark D.
PY - 1992/3
Y1 - 1992/3
N2 - This article presents a further test for market segmentation between the real estate market and the capital markets. We use rescaled range analysis developed in the fractal geometry literature to test for nonlinear trends in the returns series for different asset classes. We make three major conclusions: (1) the stock market displays tendencies consistent with a random walk, (2) portfolios of mortgage and equity REIT returns display tendencies consistent with a random walk and, (3) conditional upon the methods used, segmentation does not exist between different real estate markets and between the real estate and stock markets.
AB - This article presents a further test for market segmentation between the real estate market and the capital markets. We use rescaled range analysis developed in the fractal geometry literature to test for nonlinear trends in the returns series for different asset classes. We make three major conclusions: (1) the stock market displays tendencies consistent with a random walk, (2) portfolios of mortgage and equity REIT returns display tendencies consistent with a random walk and, (3) conditional upon the methods used, segmentation does not exist between different real estate markets and between the real estate and stock markets.
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U2 - 10.1111/1540-6229.00571
DO - 10.1111/1540-6229.00571
M3 - Article
AN - SCOPUS:84983980240
SN - 1080-8620
VL - 20
SP - 25
EP - 54
JO - Real Estate Economics
JF - Real Estate Economics
IS - 1
ER -