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The Fractal Structure of Real Estate Investment Trust Returns: The Search for Evidence of Market Segmentation and Nonlinear Dependency
Author(s) -
Ambrose Brent W.,
Ancel Esther,
Griffiths Mark D.
Publication year - 1992
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.00571
Subject(s) - real estate , random walk , economics , financial economics , capitalization rate , equity (law) , real estate investment trust , econometrics , segmentation , stock market , finance , computer science , mathematics , artificial intelligence , geography , statistics , context (archaeology) , archaeology , law , political science
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.