International Journal of Strategic Property Management
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).
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
Almudhaf, Fahad and Hansz, Andrew J., "Random Walks and Market Efficiency: Evidence from Real Estate Investment Trusts (REIT) Subsectors" (2018). Finance Faculty Publications. 20.