MARKET EFFICIENCY AND RETURN PREDICTABILITY IN THE EMERGING SECURITIZED REAL ESTATE MARKETS

Felix Schindler

Journal of Real Estate Literature, 2011, vol. 19, issue 1, 111-150

Abstract: This paper tests market efficiency and return predictability for twelve emerging and four developed securitized real estate markets from 1992 through 2009. The analysis is based on autocorrelation tests, as well as both single variance and multiple variance ratio tests. Furthermore, non-parametric runs tests are conducted. Empirical evidence shows that the efficient market hypothesis in its weak form is not rejected by any statistical test for seven of the twelve markets. This result is surprising, since all four developed securitized real estate stock markets analyzed do not follow a random walk. The results are confirmed by the analysis of excess returns following from technical trading rules.

Date: 2011
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.2011.12090293 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:rjelxx:v:19:y:2011:i:1:p:111-150

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rjel20

DOI: 10.1080/10835547.2011.12090293

Access Statistics for this article

Journal of Real Estate Literature is currently edited by Sophia Dermisi and Kimberly Winson

More articles in Journal of Real Estate Literature from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().