Empirical Tests of the Fundamental-Value Hypothesis in Land Markets
AbstractThe land-price boom of the 1970s followed by the bust of the 1980s generated considerable interest in the determination of land prices and the study of whether those prices reflect fundamental value. In this article, three techniques are used to examine the fundamental-value hypothesis in Iowa and Nebraska agricultural land markets. Duration dependence tests indicate that land markets are not affected by rational expectations bubbles. Conversely, Markov chain and time-reversibility tests suggest that land prices depart from fundamental value due to the existence of nonrandom price changes and asymmetric land price patterns. The results of this research should be viewed as a complement to the existing body of knowledge in our quest to enhance our understanding of agricultural land-price movements. Copyright 2001 by Kluwer Academic Publishers
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Bibliographic InfoArticle provided by Springer in its journal Journal of Real Estate Finance & Economics.
Volume (Year): 22 (2001)
Issue (Month): 1 (January)
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Web page: http://www.springerlink.com/link.asp?id=102945
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- Merry, Frank & Amacher, Gregory & Lima, Eirivelthon, 2008. "Land Values in Frontier Settlements of the Brazilian Amazon," World Development, Elsevier, vol. 36(11), pages 2390-2401, November.
- Jirasakuldech, Benjamas & Emekter, Riza & Rao, Ramesh P., 2008. "Do Thai stock prices deviate from fundamental values?," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 298-315, June.
- Ahmad, Mahyudin, 2012. "Duration dependence test for rational speculative bubble: the strength and weakness," MPRA Paper 42156, University Library of Munich, Germany.
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