Coleman, S and Leone, V ORCID: https://orcid.org/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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