[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/bla/reesec/v15y1987i3p220-233.html
   My bibliography  Save this article

A Test of Weak‐Form Efficiency in Residential Real Estate Returns

Author

Listed:
  • William Rayburn
  • Michael Devaney
  • Richard Evans
Abstract
This paper tests weak‐form efficiency of residential real estate returns for the city of Memphis, Tennessee. The database for the study is comprised of the population of all sales of single‐unit residential property over a fifteen‐year period, 1970–1984. The city was divided into ten submarkets based on Memphis City Planning Commission planning districts. An analysis of variance procedure was utilized to stabilize the variance both within and across submarkets and nonmarket financing was partially controlled by eliminating transactions with loan‐to‐value ratios greater than 95%. The remaining transactions were then used to generate a mean return series. The advantage of the mean over the single transaction series used by Gau is that it represents the most likely outcome for the investor trying to duplicate investment performance since “property unique” features would be expected to cancel. Seven of the ten submarkets exhibited time patterns; however, after adjusting for transaction costs, all ten submarkets were determined weak‐form efficient for the period 1970–1984. This was not true for the short horizon holding period, 1970–1975. In four sub‐markets an asymmetric version of Alexander's filter rule was able to outperform a buy‐and‐hold, even for round‐ trip transaction costs as high as 10%.

Suggested Citation

  • 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, September.
    • Handle: RePEc:bla:reesec:v:15:y:1987:i:3:p:220-233
    DOI: 10.1111/1540-6229.00429
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1540-6229.00429
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1540-6229.00429?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gunther Maier & Shanaka Herath, 2009. "Real Estate Market Efficiency: A Survey of Literature," ERES eres2009_155, European Real Estate Society (ERES).
    2. Cohen, Jeffrey P. & Ioannides, Yannis M. & (Wirathip) Thanapisitikul, Win, 2016. "Spatial effects and house price dynamics in the USA," Journal of Housing Economics, Elsevier, vol. 31(C), pages 1-13.
    3. Caporale, Guglielmo Maria & Sousa, Ricardo M., 2016. "Consumption, wealth, stock and housing returns: Evidence from emerging markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 562-578.
    4. El-Jahel, Lina & MacCulloch, Robert, 2021. "Trading in the housing market: A model with transaction costs," Mathematical Social Sciences, Elsevier, vol. 113(C), pages 89-96.
    5. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
    6. Richard D. Evans & William Rayburn, 1991. "The Effect of School Desegregation Decisions on Single-Family Housing Prices," Journal of Real Estate Research, American Real Estate Society, vol. 6(2), pages 107-216.
    7. William L. Attebery & Ronald C. Rutherford & Mark E. Eakin, 1993. "Industrial Real Estate Prices and Market Efficiency," Journal of Real Estate Research, American Real Estate Society, vol. 8(3), pages 377-386.
    8. Esra ALP & Ünal SEVEN, 2019. "Türkiye Konut Piyasasında Etkinlik Analizi," Istanbul Business Research, Istanbul University Business School, vol. 48(1), pages 84-112, May.
    9. Alan W. Evans, 1995. "The Property Market: Ninety Per Cent Efficient?," Urban Studies, Urban Studies Journal Limited, vol. 32(1), pages 5-29, February.
    10. Jiyoung Chae & Anil K. Bera, 2024. "Spatial Market Inefficiency in Housing Market: A Spatial Quantile Regression Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 69(1), pages 70-99, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:reesec:v:15:y:1987:i:3:p:220-233. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/areueea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.