Abstract
This chapter reviews the literature on the distribution of commercial real estate returns. There is growing evidence that the assumption of normality in returns is not safe. This chapter considers the distribution of returns in the commercial real estate market. Commercial real estate involves land and buildings owned by one party and let to another party. Within the real estate literature, research usually distinguishes between the private and public real estate markets. The private or direct market consists of buildings owned and managed by investors or their agents. The commercial real estate market forms a small but significant part of institutional and private investors' portfolios. Despite this, real estate has been a comparatively neglected topic in the financial economics literature. There are a number of reasons for this lacuna. The distinct institutional structure of the real estate market has led to the development and preservation of analytic techniques and terminology that differ from those found in other asset markets.
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