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* I ' Lnwersity of British Columbia. This research received financial support from the Institute for Quantitative Research in Finance. Preliminary data collection and analysis were supported by grants from the Real Estate Council of British Columbia and the Real Estate Education and Research Fund Committcc. Helpful comments were offered by Dennis Capozza, Bob Edelstein, Larry Jones, and Tony Sanders. Excellent computational assistance was provided by Judy Fountain. For a review of empirical tests of financial market efficiency, see Jensen [8]. *Examples in the real estate literature of the advocacy of the hypothesis of inefficient real estate markets are Kinnard [9, Chapter 21, Roulac [16, 171 and Pyhrr and Cooper [14, Chapter 11. While there have not been any previous studies that attempted to directly test the efiiciency of a real estate market, there is a rather substantial body of empirical research which provides indirect evidence regarding efficiency. These studies have examined the extent of the capitalization of specific information into real estate values; for example, the capitalization of changes of property taxes into housing values [15]. The Financial Review market tests are applied to time series of asset prices in the investment markets for apartment and commercial
The Financial Review – Wiley
Published: Nov 1, 1984
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