How efficient is the U.K. Housing Market?


Schindler, Felix


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URL: http://ub-madoc.bib.uni-mannheim.de/2937
URN: urn:nbn:de:bsz:180-madoc-29370
Document Type: Working paper
Year of publication: 2010
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: G15 G14 R31 G12 ,
Subject headings (SWD): Großbritannien , Wohnungsmarkt , Wohnimmobilien , Immobilienmarkt , Markteffizienz , Statistischer Test , Schätzung
Keywords (English): Housing market , weak-form market efficiency , random walk hypothesis , variance ratio tests , runs test , trading strategies
Abstract: Extending the controversial findings from the relevant literature, the results from the quarterly transaction-based Nationwide indices from 1974 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.K. housing market. In addition to conducting parametric and non-parametric tests, we apply technical trading strategies to test whether or not the inefficiencies can be exploited by investors earning excess returns. The empirical findings from the technical trading strategies support the results from the statistical tests and suggest that investors might be able to obtain excess returns from both autocorrelation- and moving average-based strategies compared to a buy-and-hold strategy for 10 out of 14 markets.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Schindler, Felix (2010) How efficient is the U.K. Housing Market? Open Access [Working paper]
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