Time-series characteristics of UK commercial property returns: testing for multiple changes in persistence

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
Creators: Coleman, S. and Leone, V.
Publisher: World Business Institute
Place of Publication: Berwick, Victoria, Australia
Date: 2013
Divisions: Schools > Nottingham Business School
Depositing User: EPrints Services
Date Added: 09 Oct 2015 10:56
Last Modified: 09 Jun 2017 13:45
URI: http://irep.ntu.ac.uk/id/eprint/20355

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