I examine the return predictability of the Indonesian stock-market during 1984–2016, in rolling windows, using an automatic portmanteau test and an automatic variance ratio. I find that the market's efficiency and predictability vary over time — consistent with the adaptive market hypothesis...

Few number of days accounts for most of the returns delivered by precious metals (gold, silver, platinum and palladium). A passive buy and hold investment strategy in precious metals outperforms market timers who miss the best 5, 10 and 50 days by 51%, 71% and 98%, respectively. Likewise,...

This paper investigates the random walk behavior of real estate investment trust (REIT) sub-sectors using monthly return data from January 1994 to July 2015. Using variance ratio tests, we examine sub-sectors of lodging/ resorts and self-storage and find that they do not follow a random walk,...

The main objective of this study is to examine the performance of hotel stocks and lodging real estate investment trusts (REITs) by estimating the recent Fama-French five-factor model (including investment and profitability factors) with an additional momentum factor during the 2000–2015...

The purpose of this paper is to test for the presence of bubbles in the US lodging/hotel real estate investment trust (REIT) sub-sector from 1994 to 2016. It also compares the profitability of a buy-and-hold strategy with several technical trading rules when applied to lodging REITs. To...

This paper analyses the pricing efficiency of exchange traded funds (ETFs) as measured by the level and persistence of the deviation between market prices and net asset value (NAV). Studying ETFs tracking the unexplored Gulf Cooperation Countries (GCC), we find that Saudi Arabia exhibits the...

We investigate the degree of return predictability of lodging/resort real estate investment trusts (REITs) from January 1994 to May 2016. We test the Martingale hypothesis by using linear (automatic portmanteau and automatic variance ratio with rolling windows) and nonlinear tests (generalized...