Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence.

The random-walk hypothesis of asset prices suggests that prices traded in a market cannot be predicted based on historical information. Employing unsecuritized UK commercial property returns, we analyze this hypothesis. Our results uncover multiple changes in persistence in both aggregate and sectorial data. We discuss some implications for academics, practitioners and regulators.

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Year of publication:	2012-06
Authors:	Simeon Coleman Author name: Vitor Leone
Institutions:	Nottingham Trent University, Nottingham Business School, Economics Division
Subject:	Multiple changes in persistence \| commercial property returns

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Classification:	C10 - Econometric and Statistical Methods: General. General ; C32 - Time-Series Models ; G - Financial Economics ; G00 - Financial Economics. General ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010726392