Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/30009
Authors: 
Schindler, Felix
Year of Publication: 
2010
Series/Report no.: 
ZEW Discussion Papers 10-004
Abstract: 
Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.S. 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 suggest that investors might be able to obtain excess returns from both autocorrelation- and moving average-based trading strategies compared to a buy-and-hold strategy.
Subjects: 
Housing market
weak-form market efficiency
random walk hypothesis
variance ratio tests
runs test
trading strategies
JEL: 
G12
G14
G15
R31
Document Type: 
Working Paper

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