Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259848 
Year of Publication: 
2001
Series/Report no.: 
Working Paper No. 2001:8
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
This paper investigates the information in monthly nominal Swedish real estate stock market returns from 1939-1998. Thus we test the weak form efficient market hypothesis. Our results contradict previous findings from the general Swedish stock market as we find very little evidence of seasonal effects and time varying volatility. Further we find no evidence of mean reversion in the real estate stock market. The overall conclusion is that the nominal real estate stock market returns follow a random walk. Our result suggests in context of previous studies that the irregularities found in the Swedish stock market originate from other industries.
Subjects: 
real estate
real estate stocks
market efficiency
seasonal effects
mean reversion
JEL: 
G10
G12
G14
Document Type: 
Working Paper

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