Template-Type: ReDIF-Paper 1.0
Author-Name: Simeon Coleman
Author name: Vitor Leone
Title: Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence. 
Abstract: The random-walk hypothesis of asset prices suggests that prices traded in a market cannot 
be predicted based on historical information. Employing unsecuritized UK commercial 
property returns, we analyze this  hypothesis. Our results uncover multiple changes in 
persistence in both aggregate and sectorial data. We discuss some implications for 
academics, practitioners and regulators.
File-URL: http://www.ntu.ac.uk/__data/assets/pdf_file/0012/310323/Time-series-characteristics-of-UK-commercial-property-returns.pdf
File-Format: Application/pdf
File-Function: First version, 2012
Creation-Date: 2012-06
Classification-JEL: C10, C32, G00, G11
Keywords: Multiple changes in persistence, commercial property returns.
Handle: RePEc:nbs:wpaper:2012/03