Excess Returns in the Hong Kong Commercial Property Market

27 Pages Posted: 27 May 2012

See all articles by K.W. Chau

K.W. Chau

The University of Hong Kong - Ronald Coase Centre for Property Rights Research - Economics

Gerald Brown

affiliation not provided to SSRN

Date Written: 1997

Abstract

This paper examines the existence of excess returns in the commercial property market of Hong Kong using time series data for both valuations and transactions prices. The proposition is that if the valuation series is accurately processing transactions prices then excess returns, if they exist, should be detected in both series.

Our findings confirm that excess returns can be detected in both valuation and transaction based series. The excess returns are not, however, persistent although there appears to be greater opportunities for earning excess returns in the office sector.

Keywords: Excess returns, market efficiency, filter rules, Kalman filter

JEL Classification: G12, G14

Suggested Citation

Chau, Kwong Wing and Brown, Gerald, Excess Returns in the Hong Kong Commercial Property Market (1997). Journal of Real Estate Research, Vol. 14, No. 2, 1997, Available at SSRN: https://ssrn.com/abstract=2066933

Kwong Wing Chau (Contact Author)

The University of Hong Kong - Ronald Coase Centre for Property Rights Research - Economics ( email )

Ronald Coase Centre for Property Rights Research
Pokfulam Road
Hong Kong
Hong Kong
(852)28592128 (Phone)
(852)25599457 (Fax)

Gerald Brown

affiliation not provided to SSRN ( email )

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