Kleiman, Robert T.; Payne, James E.; Sahu, Anandi P. - In: Journal of Real Estate Research 24 (2002) 3, pp. 279-298
This study performs tests of the random walk hypothesis for international commercial real estate markets utilizing stock market indices of real estate share prices for three geographical regions: Europe, Asia and North America. The augmented Dickey-Fuller and Phillips-Perron unit root tests and...