Random Walks and Market Efficiency: Evidence from Real Estate Investment Trusts (REIT) Subsectors
Almudhaf, F. and J.A. Hansz (2018) “Random Walks and Market Efficiency: Evidence from Real Estate Investment Trusts (REIT) Subsectors”, International Journal of Strategic Property Management, 22(2), 81-92.
Posted: 24 Aug 2020
Date Written: 2018
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, contradicting the weak-form efficient market hypothesis. Non-parametric runs tests help us find that office, industrial, mixed, free standing, shopping centers, apartments, manufactured homes, and timberland sub-sectors are weak-form efficient. The evidence in this study supports the idea that some sub-sectors are more information-ally efficient than other sub-sectors.
Keywords: Real Estate Investment Trust, REIT, Random Walk, Market Efficiency
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