Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence

Simeon Coleman ()

NBS Discussion Papers in Economics from Economics, Nottingham Business School, Nottingham Trent University

Abstract: The random-walk hypothesis of asset prices suggests that prices traded in a market cannot be predicted based on historical information. Employing unsecuritized UK commercial property returns, we analyze this hypothesis. Our results uncover multiple changes in persistence in both aggregate and sectorial data. We discuss some implications for academics, practitioners and regulators.

Keywords: Multiple changes in persistence; commercial property returns. (search for similar items in EconPapers)
JEL-codes: C10 C32 G00 G11 (search for similar items in EconPapers)
Date: 2012-06
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http://www.ntu.ac.uk/__data/assets/pdf_file/0012/3 ... property-returns.pdf First version, 2012 (application/pdf)

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