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Conference Paper: Is the existence of property cycles consistent with the Efficient Market Hypothesis?

TitleIs the existence of property cycles consistent with the Efficient Market Hypothesis?
Authors
KeywordsProperty Cycle
Efficient Market Hypothesis
Behavioural Finance
Issue Date2006
PublisherPacific Rim Real Estate Society
Citation
The 12th Annual Conference of the Pacific Rim Real Estate Society, Auckland, New Zealand, 22-25 January 2006 How to Cite?
AbstractA number of empirical studies have confirmed the existence of property cycles in various mature real estate markets. In this paper, we will see whether these results fit in with the existing relevant theories. The efficient Market Hypothesis (EMH) is one of the cornerstones of the mainstream finance. In the context of the equity market, one of the generally accepted implications of the EMH is the future price of a security is unpredictable. The real estate market, by various empirical studies, has found to be weak form efficient. It is thus natural to infer that no property cycle exists as otherwise it would imply the predictability of property price and that is not consistent with EMH. This study, after reviewing the up-to-date literature, found the Efficient Market Hypothesis has taken on a new face; it is separated from the Random Walk Hypothesis (RWH). Due to its infallibility in empirical testing, it could well be recessed to the role of benchmarking the relative efficiency of the market. The apparent inconsistency between the existence of property cycles and EMH therefore disappears. The behavioural school of finance proclaims that market may not be efficient all the time and provides an explanation for this. Under this school of thought, the apparent conflict between the existence of property cycles and EMH again disappears.
Persistent Identifierhttp://hdl.handle.net/10722/115944

 

DC FieldValueLanguage
dc.contributor.authorMan, KFen_HK
dc.contributor.authorChau, KWen_HK
dc.date.accessioned2010-09-26T06:08:33Z-
dc.date.available2010-09-26T06:08:33Z-
dc.date.issued2006en_HK
dc.identifier.citationThe 12th Annual Conference of the Pacific Rim Real Estate Society, Auckland, New Zealand, 22-25 January 2006en_HK
dc.identifier.urihttp://hdl.handle.net/10722/115944-
dc.description.abstractA number of empirical studies have confirmed the existence of property cycles in various mature real estate markets. In this paper, we will see whether these results fit in with the existing relevant theories. The efficient Market Hypothesis (EMH) is one of the cornerstones of the mainstream finance. In the context of the equity market, one of the generally accepted implications of the EMH is the future price of a security is unpredictable. The real estate market, by various empirical studies, has found to be weak form efficient. It is thus natural to infer that no property cycle exists as otherwise it would imply the predictability of property price and that is not consistent with EMH. This study, after reviewing the up-to-date literature, found the Efficient Market Hypothesis has taken on a new face; it is separated from the Random Walk Hypothesis (RWH). Due to its infallibility in empirical testing, it could well be recessed to the role of benchmarking the relative efficiency of the market. The apparent inconsistency between the existence of property cycles and EMH therefore disappears. The behavioural school of finance proclaims that market may not be efficient all the time and provides an explanation for this. Under this school of thought, the apparent conflict between the existence of property cycles and EMH again disappears.-
dc.languageengen_HK
dc.publisherPacific Rim Real Estate Societyen_HK
dc.relation.ispartofProceedings from the Pacific Rim Real Estate Society (PRRES) Conference - 2006en_HK
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectProperty Cycle-
dc.subjectEfficient Market Hypothesis-
dc.subjectBehavioural Finance-
dc.titleIs the existence of property cycles consistent with the Efficient Market Hypothesis?en_HK
dc.typeConference_Paperen_HK
dc.identifier.emailChau, KW: hrrbckw@hkucc.hku.hken_HK
dc.identifier.authorityChau, KW=rp00993en_HK
dc.description.naturepublished_or_final_version-
dc.identifier.hkuros123079en_HK
dc.identifier.spage12en_HK

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