Document Type

Article

Publication Date

2018

DOI

10.3846/ijspm.2018.440

Publication Title

International Journal of Strategic Property Management

Volume

22

Issue

2

Pages

81-92

Abstract

This paper investigates the random walk behavior of real estate investment trust (REIT) subsectors using monthly return data from January 1994 to July 2015. Using variance ratio tests, we examine subsectors of lodging/ resorts and self-storage and find that they do not follow a random walk, contradicting the weak-form efficient market hypothesis. Nonparametric runs tests help us find that office, industrial, mixed, free standing, shopping centers, apartments, manufactured homes, and timberland subsectors are weak-form efficient. The evidence in this study supports the idea that some subsectors are more informationally efficient than other subsectors. Copyright © 2018 The Author(s).

Comments

This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.

Original Publication Citation

Almudhaf, F., & Hansz, A. J. (2018). Random walks and market efficiency: Evidence from real estate investment trusts (REIT) subsectors. International Journal of Strategic Property Management, 22(2), 81-92. doi:10.3846/ijspm.2018.440

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