Industrial Real Estate Prices and Market Efficiency
This study employs a multivariate Granger-causality procedure to examine causal relationships between selected economic and financial variables and industrial real estate prices. Empirical results indicate that relationships between several of these variables' lagged values and current values of price exist. We also find a significant relationship between past and current prices.
Volume (Year): 8 (1993)
Issue (Month): 3 ()
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References listed on IDEAS
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- William Rayburn & Michael Devaney & Richard Evans, 1987. "A Test of Weak-Form Efficiency in Residential Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(3), pages 220-233.
- Linneman, Peter, 1986. "An empirical test of the efficiency of the housing market," Journal of Urban Economics, Elsevier, vol. 20(2), pages 140-154, September.
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- Karl E. Case & Robert J. Shiller, 1988. "The Efficiency of the Market for Single-Family Homes," NBER Working Papers 2506, National Bureau of Economic Research, Inc.
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- Karl L. Guntermann & Richard L. Smith, 1987. "Efficiency of the Market for Residential Real Estate," Land Economics, University of Wisconsin Press, vol. 63(1), pages 34-45.
- George W. Gau, 1985. "Public Information and Abnormal Returns in Real Estate Investment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(1), pages 15-31. Full references (including those not matched with items on IDEAS)
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