Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test

Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test

We re-examine the efficiency of real estate markets based on the Escanciano-Lobato (2009) autocorrelation test which we improved by means of wild bootstrapping. Through Monte Carlo simulation, we find that the wild bootstrap-based autocorrelation test has very good performance even in small samples....

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Bibliographic Details
Main Authors: Su, J., Cheung, Adrian, Roca, E.
Format: Journal Article
Published: Elsevier BV * North-Holland 2012
Subjects:
Real estate
Autocorrelation test
Market efficiency
Online Access:http://hdl.handle.net/20.500.11937/45229

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