This study was limited by the frequency, quality and length of real estate returns series. In the UK, quarterly total returns series for all real estate covering the period 1977-1995, were obtained from Jones Lang Wootton ("JLW"). In addition, a set of monthly series for all commercial real estate (industrial, office, retail and the combined index of them) was obtained from the Investment Property Databank ("IPD"), for the period 1987-1995. The JLW quarterly indices are of particular value due to their length, while since January 1987, the IPD indices have been the only source offering a comprehensive measure of monthly institutional commercial property performance in the UK.

In the US, quarterly total returns series were obtained for all commercial real estate, office, retail, research & development/office, warehouse and the combined index of them, from the National Council of Real Estate Investment Fiduciaries ("NCREIF"). These covered the period 1978-1995.

The indices used measure pure returns rather than leveraged returns. This, by definition, reduces the volatility of such indices relative to other financial time series.7 The indices are also constructed from institutional holdings in real estate. Note, that a substantial proportion of institutions are tax exempt. Accordingly, the characteristics of the indices as time series must be viewed with this in mind.


7Christie [1982] demonstrates that the standard deviation of equity returns is an increasing function of financial and operational gearing; this empirically verifies the financial gearing effect.