Real estate market efficiency: Evidence from Beijing and Shanghai

被引:0
|
作者
Zheng, SQ [1 ]
Liu, HY [1 ]
Sun, B [1 ]
机构
[1] Tsing Hua Univ, Inst Real Estate Studies, Beijing 100084, Peoples R China
来源
PROCEEDINGS OF THE 2003 INTERNATIONAL CONFERENCE ON CONSTRUCTION & REAL ESTATE MANAGEMENT | 2003年
关键词
market efficiency; real estate; transaction cost; searching time;
D O I
暂无
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The price in an efficient market can adjust to new information instantaneously to eliminate any arbitrage opportunities, but such phenomenon is not always observed in real estate market. Using the housing and office market data in Beijing and Shanghai in China, thus paper examines the return and risk characteristics in these markets and tests whether they are efficient or not. It is found that a number of variables, including lagged quarterly and annual excess returns and a measure of the deviation of price from intrinsic value, to some extent, predict future returns. So weak form and semi-strong form efficiency can both be rejected in any of these real estate markets. These empirical findings suggest that real estate markets in Beijing and Shanghai are far away from market efficiency, and there is a slow price adjustment in those markets, which may attribute to the long time of searching and the heavy transaction costs.
引用
收藏
页码:93 / 98
页数:6
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