Market efficiency in the emerging securitized real estate markets


Schindler, Felix


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URL: http://ub-madoc.bib.uni-mannheim.de/2947
URN: urn:nbn:de:bsz:180-madoc-29477
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: G12 G14 G15 ,
Subject headings (SWD): Immobilienmarkt , Securitization , Hypothek , Markteffizienz , Irrfahrtsproblem , Statistischer Test , Schwellenländer
Keywords (English): Securitized real estate markets , market efficiency , random walk hypothesis , variance ratio tests , runs test , trading strategies
Abstract: This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential criterion in the assessment of the functionality of markets and the asset pricing process, which is of significant relevance for emerging markets in particular. 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 analyzed emerging securitized real estate markets. This result is surprising since all four developed securitized real estate stock markets analyzed in this study do not follow a random walk. The results are confirmed by the analysis of excess returns following from technical trading rules.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Schindler, Felix (2010) Market efficiency in the emerging securitized real estate markets. Open Access [Working paper]
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