Testing the predictability and efficiency of securitized real estate markets


Schindler, Felix ; Rottke, Nico ; Füss, Roland


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URL: http://ub-madoc.bib.uni-mannheim.de/2477
URN: urn:nbn:de:bsz:180-madoc-24774
Document Type: Working paper
Year of publication: 2009
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: G12 G14 G15 ,
Subject headings (SWD): Immobilienfonds , Aktienmarkt , Irrfahrtsproblem , Rendite , Schätzung
Keywords (English): Securitized real estate , weak-form market efficiency , random walk hypothesis , variance ratio tests , runs test , trading strategies
Abstract: This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real estate index returns and to test the hypothesis that public real estate stock prices follow a random walk, the single variance ratio tests of Lo and MacKinlay (1988) as well as the multiple variance ratio test of Chow and Denning (1993) are employed. Weak-form market efficiency is tested directly using non-parametric runs tests. Empirical evidence shows that weekly stock prices in major securitized real estate markets do not follow a random walk. The empirical findings of return predictability suggest that investors might be able to develop trading strategies allowing them to earn excess returns compared to a buy-and-hold strategy.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Schindler, Felix ; Rottke, Nico ; Füss, Roland (2009) Testing the predictability and efficiency of securitized real estate markets. Open Access [Working paper]
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