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Efficiency Of The Real Estate Market: A Meta-Analysis

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  • Gunther Maier
  • Shanaka Herath

Abstract

The issue of whether or not the real estate market is efficient has been debated extensively in recent years. We use a meta-analysis to shed light on the issue. A sample of studies published from 1984 is used to examine the robustness of the evidence regarding efficiency of the real estate markets. Empirical studies that test the three versions of the Efficient Market Hypothesis (EMH), i.e. weak, semi-strong and strong form are considered along with tests of market fundamentals and price bubbles. Our dependent variable is whether the real estate market is efficient or not. It is expected that the results are sensitive to several research design parameters such as type of data used (aggregate or transaction level), geography of the market (US, Europe or Asia), type of property (residential, income generating or land etc.), scale of the market (local, regional, national or international), urban/rural classification, and to the publication year.

Suggested Citation

  • Gunther Maier & Shanaka Herath, 2010. "Efficiency Of The Real Estate Market: A Meta-Analysis," ERES eres2010_114, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2010_114
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2010-114
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    Cited by:

    1. Aviral Kumar Tiwari & Rangan Gupta & Juncal Cunado & Xin Sheng, 2020. "Testing the white noise hypothesis in high-frequency housing returns of the United States," Economics and Business Letters, Oviedo University Press, vol. 9(3), pages 178-188.
    2. Ewelina Badura, 2020. "Investing in Real Estate - Legal Risks," MIC 2020: The 20th Management International Conference,, University of Primorska Press.
    3. Ferentinos, Konstantinos & Gibberd, Alex & Guin, Benjamin, 2021. "Climate policy and transition risk in the housing market," Bank of England working papers 918, Bank of England.
    4. Carsten Lausberg & Stephen Lee & Moritz Müller & Cay Oertel & Tobias Schultheiß, 2020. "Risk measures for direct real estate investments with non-normal or unknown return distributions," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 6(1), pages 3-27, April.
    5. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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