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Article: Excess returns in the Hong Kong commercial property market

TitleExcess returns in the Hong Kong commercial property market
Authors
KeywordsExcess returns
Market efficiency
Filter rules
Kalman filter
Issue Date1997
PublisherAmerican Real Estate Society. The Journal's web site is located at http://aux.zicklin.baruch.cuny.edu/jrer/
Citation
Journal of Real Estate Research, 1997, v. 14 n. 2, p. 91-106 How to Cite?
AbstractThis paper examines the existence of excess returns in the commercial property market of Hong Kong using time series data for both valuations and transactions prices. The proposition is that if the valuation series is accurately processing transactions prices then excess returns, if they exist, should be detected in both series. Our findings confirm that excess returns can be detected in both valuation and transaction based series. The excess returns are not, however, persistent although there appears to be greater opportunities for earning excess returns in the office sector.
Persistent Identifierhttp://hdl.handle.net/10722/81826
ISSN
2015 Impact Factor: 0.7
2015 SCImago Journal Rankings: 1.674
SSRN

 

DC FieldValueLanguage
dc.contributor.authorBrown, GRen_HK
dc.contributor.authorChau, KWen_HK
dc.date.accessioned2010-09-06T08:22:25Z-
dc.date.available2010-09-06T08:22:25Z-
dc.date.issued1997en_HK
dc.identifier.citationJournal of Real Estate Research, 1997, v. 14 n. 2, p. 91-106en_HK
dc.identifier.issn0896-5803en_HK
dc.identifier.urihttp://hdl.handle.net/10722/81826-
dc.description.abstractThis paper examines the existence of excess returns in the commercial property market of Hong Kong using time series data for both valuations and transactions prices. The proposition is that if the valuation series is accurately processing transactions prices then excess returns, if they exist, should be detected in both series. Our findings confirm that excess returns can be detected in both valuation and transaction based series. The excess returns are not, however, persistent although there appears to be greater opportunities for earning excess returns in the office sector.-
dc.languageengen_HK
dc.publisherAmerican Real Estate Society. The Journal's web site is located at http://aux.zicklin.baruch.cuny.edu/jrer/en_HK
dc.relation.ispartofJournal of Real Estate Researchen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectExcess returns-
dc.subjectMarket efficiency-
dc.subjectFilter rules-
dc.subjectKalman filter-
dc.titleExcess returns in the Hong Kong commercial property marketen_HK
dc.typeArticleen_HK
dc.identifier.emailChau, KW: hrrbckw@hkucc.hku.hken_HK
dc.identifier.authorityChau, KW=rp00993en_HK
dc.description.naturepostprint-
dc.identifier.hkuros36659en_HK
dc.identifier.volume14-
dc.identifier.issue2-
dc.identifier.spage91-
dc.identifier.epage106-
dc.publisher.placeUSA-
dc.identifier.ssrn2066933-

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