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dc.contributor.authorSchindler, Felixen_US
dc.date.accessioned2010-06-04en_US
dc.date.accessioned2010-07-07T13:29:17Z-
dc.date.available2010-07-07T13:29:17Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/36376-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherZentrum für Europäische Wirtschaftsforschung (ZEW) Mannheimen_US
dc.relation.ispartofseriesZEW Discussion Papers 10-033en_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordSecuritized real estate marketsen_US
dc.subject.keywordmarket efficiencyen_US
dc.subject.keywordrandom walk hypothesisen_US
dc.subject.keywordvariance ratio testsen_US
dc.subject.keywordruns testen_US
dc.subject.keywordtrading strategiesen_US
dc.subject.stwImmobilienmarkten_US
dc.subject.stwSecuritizationen_US
dc.subject.stwHypotheken_US
dc.subject.stwMarkteffizienzen_US
dc.subject.stwRandom Walken_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwSchätzungen_US
dc.subject.stwAufstrebende Märkteen_US
dc.subject.stwSchwellenländeren_US
dc.titleMarket efficiency in the emerging securitized real estate marketsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn627402313en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:zewdip:10033-
Appears in Collections:ZEW Discussion Papers
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