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

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

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