This paper analyses the short- and long-term relationships between hedge funds and traditional financial assets using multivariate cointegration analysis in order to investigate if the fees charged by hedge funds are justified for the kind of exposure they provide to investors. We therefore...

This paper extends the analysis of predictability and persistence of inflation-adjusted house price movements in the UK housing market both on a regional level across 13 regions and on a nationwide level. Applying a univariate time series approach, the results from the quarterly...

The components of GDP (residential investment, durables, nondurables, equipment and software, and business structures) display a pronounced lead-lag structure. We investigate the implications of this lead-lag structure for the cross-section of asset returns. We find that the leading GDP...

This paper conducts tests of the random walk hypothesis and market efficiency for twelve emerging securitized real estate markets 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...

This paper examines persistence in price movements and predictability of the US housing market both on a local level across 20 cities in the US and on a nationwide level. We use a time series approach instead of often applied multivariate approaches to exclude potential biases across local...