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Coleman, S. and Leone, V. 
ORCID: 0000-0002-8200-6371,
2013.
Time-series characteristics of UK commercial property returns: testing for multiple changes in persistence.
In: Proceedings of the 24th International Business Research Conference, Las Vegas, USA.
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Abstract
The random-walk hypothesis, vis-à-vis asset prices , suggests that prices traded in a market cannot be predicted based on historical information. Employing unsecuritised UK commercial property returns, we analyze this hypothesis, investigating multiple changes in persistence in the series . Our results uncover multiple changes in persistence in both the aggregate and sector-specific data. We highlight some implications for academics, practitioners and regulators.
| Item Type: | Conference contribution |
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| Creators: | Coleman, S. and Leone, V. |
| Publisher: | World Business Institute |
| Place of Publication: | Berwick, Victoria, Australia |
| Date: | 2013 |
| Divisions: | Schools > Nottingham Business School |
| Record created by: | EPrints Services |
| Date Added: | 09 Oct 2015 10:56 |
| Last Modified: | 09 Jun 2017 13:45 |
| URI: | https://irep.ntu.ac.uk/id/eprint/20355 |
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