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Tests on Real Estate Market Efficiency

 

 
References

Bailey, M., Muth, R, and Nourse, H. (1963). A Regression Method for Real Estate Price Index Construction. Journal of American Statistical Assoc. 58(304): 933-942.

Brealey, A.R., Myers S.C., Marcus, A.J (1999). Fundamentals of corporate Finance (2nd ed.). Irwin McGraw-Hill.

Case, K. E. and Shiller, R. J. (1989). The efficiency of the Market for Single-Family Homes. The American Economic Review 79(1): 125-137.

Dotzour, M.G., Moorhead, E., and Winkler, D.T. (1998) The Impact of Auctions on Residential Sale Prices in New Zealand. The Journal of Real Estate Research. 16(1): 57-71.

Fisher, J. D. (2000), A repeat sales Index for commercial Real Estate – Using Sold Properties in the NCRIEF Database. Real Estate Finance. 17(2): 66-71.

Gatzlaff, D. and Geltner, D. (1998). A transaction-based Index of Commercial Property and it’s comparison to the NCREIF Index. Real Estate Finance 15(1): 7-22.

Gau, George. (1987). Efficient Real Estate Markets: Paradox or Paradigm? AREURA Journal. 15(2): 1-12.

Geltner, D.(1996). The repeated-Measures Regression-Based Index: A better way to construct Appraisal-based Indexes of Commercial Property Value. Real Estate Finance 12(4): 29-35.

Geltner, D. (1997). Bias and Precision of Estimates of Housing Investment Risk Based on Repeat-Sales Indices: A Simulation Analysis. Journal of Real Estate Finance and Economics. 14 : 155-171.

Goodman, A.C. and Thibodeau, T.G. (1998). Dwelling Age Heteroscedasticity in Repeat Sales House Price Equations. Real Estate Economics. 26(1) : 151-171.

Guntermann, K. L. and Smith, R. L. (1987). Efficiency of the Market for Residential Real Estate. Land Economics 63(1): 34-45.

Hargreaves, B. (2003) New Zealand Residential Market, 2003, Quarterly Survey Vol.6(3), Rental investments- Massey University.

Jobson, J.D. and Korkie, B.M. (1981). Performance Hypothesis Testing with the Sharpe and Treynor Measures. The Journal of Finance. 36(4): 889-908.

Leishman, C. and Watkins, C. (2002). Estimating local repeat sales house price indices for British cities. Journal of Property Investment & Finance. 20(1): 36-43.

Londerville, Jane. (1998) A Test of a buying rule for “underpriced” Apartment Buildings. Real Estate Economics. 26(3) : 538-553.

Pindyck, R. and Rubinfeld D. (1998). Economic Models and Economic Forecasts 4th Ed. Irwin/McGraw-Hill.

Sharpe, W.F. (1994) The Sharpe Ratio. The Journal of Portfolio Management. 21(1): 49-58.
 
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