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Testing the predictability and efficiency of securitized real estate markets

Schindler, Felix; Rottke, Nico; Füss, Roland - 2009

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...

Persistent link: https://www.econbiz.de/10003881575

Further evidence on the (in-) efficiency of the U.S. housing market

Schindler, Felix - 2010

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...

Persistent link: https://www.econbiz.de/10003919079

How efficient is the U.K. housing market?

Schindler, Felix - 2010

Extending the controversial findings from the relevant literature, the results from the quarterly transaction-based Nationwide indices from 1974 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.K. housing market. In addition to...

Persistent link: https://www.econbiz.de/10003969872

Market efficiency in the emerging securitized real estate markets

Schindler, Felix - 2010

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...

Persistent link: https://www.econbiz.de/10003969878

Different prices for identical products? : Market efficiency and the virtual location in B2C e-commerce

Häring, Julia (contributor) - 2003

Persistent link: https://www.econbiz.de/10001911589

Surprises in scheduled releases : why do they move the bond market?

Hess, Dieter - 2000

It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O'Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...

Persistent link: https://www.econbiz.de/10011445168

Linkages between international securitized real estate markets : further evidence from time-varying and stochastic cointegration

Schindler, Felix; Voronkova, Svitlana - 2010

bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and … results from different cointegration methodologies and explicitly control for instability in cointegration relationships and … covering 20 years. In line with previous studies, the empirical results indicate several cointegration relationships between …

Persistent link: https://www.econbiz.de/10008652070

The power law and dividend yields

Lüders, Erik (contributor); Lüders-Amann, Inge (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002137150

A dynamic heterogeneous labour demand model for German manufacturing

Falk, Martin; Koebel, Bertrand M. - 2000

This paper presents an application of the Generalised Error Correction Model (GECM) for heterogeneous factor demands based on the quadratic cost function. Using data for 26 West German manufacturing industries over the period 1976-1995, it turns out that less general specifications such as the...

Persistent link: https://www.econbiz.de/10011444593

How integrated are the European retail financial markets? : a cointegration analysis

Heinemann, Friedrich; Schüler, Martin - 2002

, bivariate and multivariate cointegration techniques are used to assess the degree of integration in four loans and two deposit …

Persistent link: https://www.econbiz.de/10011447291

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