 Are securitised real estate markets efficient?Jen-Je Su, Cheung, Adrian (Wai-Kong) and Eduardo Roca Economic Modelling, 2012, vol. 29, issue 3, 684-690 Abstract: We re-examine the efficiency of real estate markets based on the Escanciano-Lobato (2009) autocorrelation test which we improved by means of wild bootstrapping. Through Monte Carlo simulation, we find that the wild bootstrap-based autocorrelation test has very good performance even in small samples. We apply the improved test to examine the efficiency of 14 international securitized real estate markets—Australia, Canada, France, Germany, Hong Kong, Italy, Japan, Netherlands, Norway, Singapore, Sweden, Switzerland, United Kingdom and the United States. Our results show that only six of these markets—Australia, Hong Kong, Italy, Japan, Sweden and the United States are efficient while the rest are inefficient. We also find that the degree of efficiency or inefficiency of each of these markets varies considerably across time. These findings indicate that real estate markets are relatively less efficient as compared to stock and bond markets in general and may also offer an explanation as to why existing studies on real estate market efficiency have mixed results. Keywords: Autocorrelation test; Market efficiency; Real estate (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:3:p:684-690 DOI: 10.1016/j.econmod.2012.01.015 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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