AbstractThis
paper investigates the degree of return volatility persistence and the
time-varying behaviour of systematic risk (beta) for 31 market segments
in the UK real estate market. The findings suggest that different
property types exhibit differences in volatility persistence and time variability.
There is also evidence that the volatility persistence of each market segment
and its systematic risk are significantly positively related. Thus,
the systematic risks of different property types tend to move in different
directions during periods of increased market volatility. Finally,
the market segments with systematic risks less than one tend to show negative
time variability, while market segments with systematic risk greater than
one generally show positive time variability, indicating a positive relationship
between the volatility of the market and the systematic risk of individual
market segments. Consequently safer and riskier market segments are
affected differently by increases in market volatility.
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