Are markets adaptive? Evidence of predictability and market efficiency of lodging/resort REITs
Abstract
We investigate the degree of return predictability of lodging/resort real estate investment trusts (REITs) from January 1994 to May 2016. We test the Martingale hypothesis by using linear (automatic portmanteau and automatic variance ratio with rolling windows) and nonlinear tests (generalized spectral shape tests and Dominguez-Lobato consistent tests). Our findings support the Adaptive Market Hypothesis (AMH) and reveal that returns experience periods of both dependence and independence. We document time-varying predictability of lodging/resort REITs with returns as both initially predictable and subsequently unpredictable throughout the majority of the period of analysis. Moreover, we find that if traders use simple technical trading moving average rules, they can capitalize on the inefficiencies of lodging/resort REITs. Finally, we observe that absolute returns and Sharpe ratios of technical moving average rules outperform a simple buy-and-hold strategy.
Keyword : lodging REIT, Adaptive Markets Hypothesis, market efficiency, return predictability, nonlinear tests, technical trading
How to Cite
Almudhaf, F., Aroul, R. R., & Hansz, J. A. (2020). Are markets adaptive? Evidence of predictability and market efficiency of lodging/resort REITs. International Journal of Strategic Property Management, 24(2), 130-139. https://doi.org/10.3846/ijspm.2020.11547
This work is licensed under a Creative Commons Attribution 4.0 International License.
References
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Bloom, B. (2009). The predictive ability of historic beta of hotel stocks in the 2008 market downturn. Journal of Hospitality Financial Management, 17(1), 47-61. https://doi.org/10.1080/10913211.2009.10653870
Borde, S. F., Byrd, A. K., & Atkinson, S. M. (1999). Stock price reaction to dividend increases in the hotel and restaurant sector. Journal of Hospitality & Tourism Research, 23(1), 40-52. https://doi.org/10.1177/109634809902300104
Brennan, T. J., & Lo, A. W. (2011). The origin of behavior. The Quarterly Journal of Finance, 1(01), 55-108. https://doi.org/10.1142/S201013921100002X
Cabrera, J., Wang, T., & Yang, J. (2011). Linear and nonlinear predictability of international securitized real estate returns: a reality check. Journal of Real Estate Research, 33, 565-594.
Case, K. E., & Shiller, R. J. (1989). The efficiency of the market for single-family homes. American Economic Review, 79, 125-137. https://doi.org/10.3386/w2506
Case, K. E., & Shiller, R. J. (1990). Forecasting prices and excess returns in the housing market. Real Estate Economics, 18(3), 253-273. https://doi.org/10.1111/1540-6229.00521
Charles, A., Darné, O., & Kim, J. H. (2012). Exchange-rate return predictability and the adaptive markets hypothesis: evidence from major foreign exchange rates. Journal of International Money and Finance, 31(6), 1607-1626. https://doi.org/10.1016/j.jimonfin.2012.03.003
Charles, A., Darné, O., & Kim, J. H. (2015). Will precious metals shine? A market efficiency perspective. International Review of Financial Analysis, 41, 284-291. https://doi.org/10.1016/j.irfa.2015.01.018
Choi, I. (1999). Testing the random walk hypothesis for real exchange rates. Journal of Applied Econometrics, 14, 293-308. https://doi.org/10.1002/(SICI)1099-1255(199905/06)14:3<293::AID-JAE503>3.0.CO;2-5
Dominguez, M. A., & Lobato, I. N. (2003). A consistent test for the martingale difference hypothesis. Econometric Reviews, 22, 351-377. https://doi.org/10.1081/ETC-120025895
Escanciano, J., & Lobato, I. (2009). An automatic Portmanteau test for serial correlation. Journal of Econometrics, 151, 140-149. https://doi.org/10.1016/j.jeconom.2009.03.001
Escanciano, J., & Velasco, C. (2006). Generalized spectral tests for the martingale difference hypothesis. Journal of Econometrics, 134, 151-185. https://doi.org/10.1016/j.jeconom.2005.06.019
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Feng, Z., Price, S. M., & Sirmans, C. (2011). An overview of equity real estate investment trusts (REITs): 1993–2009. Journal of Real Estate Literature, 19(2), 307-343.
Gatzlaff, D., & Tirtiroğlu, D. (1995). Real estate market efficiency: issues and evidence. Journal of Real Estate Literature, 3(2), 157-189.
Gau, G. W. (1984). Weak form tests of the efficiency of real estate investment markets. Financial Review, 19(4), 301-320. https://doi.org/10.1111/j.1540-6288.1984.tb00652.x
Gau, G. (1985). Public information and abnormal returns in real estate investment. Journal of the American Real Estate and Urban Economics Association, 13, 15-31. https://doi.org/10.1111/1540-6229.00338
Ghazani, M., & Araghi, M. (2014). Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: evidence from the Tehran stock exchange. Research in International Business and Finance, 32, 50-59. https://doi.org/10.1016/j.ribaf.2014.03.002
Gibbons, M. R., Ross, S. A., & Shanken, J. (1989). A test of the efficiency of a given portfolio. Econometrica, 57, 1121-1152. https://doi.org/10.2307/1913625
Glabadanidis, P. (2014). The market timing power of moving averages: evidence from US REITs and REIT indexes. International Review of Finance, 14(2), 161-202.
https://doi.org/10.1111/irfi.12018
Gu, Z., & Kim, H. (2003). An examination of the determinants of hotel REITs’ unsystematic risk. Journal of Hospitality & Tourism Research, 27(2), 166-184. https://doi.org/10.1177/1096348003027002002
Hamilton, B. W., & Schwab, C. (1985). Expected appreciation in urban housing markets. Journal of Urban Economics, 18, 103-118. https://doi.org/10.1016/0094-1190(85)90030-0
Huang, C., Su, H., & Chiu, C. (2009). REIT market efficiency before and after inclusion in the S&P 500. Journal of Real Estate Portfolio Management, 15, 239-250.
Jackson, L. A. (2009). Lodging REIT performance and comparison with other equity REIT returns. International Journal of Hospitality & Tourism Administration, 10(4), 296-325. https://doi.org/10.1080/15256480903202383
Jain, P., Robinson, S., Singh, A. J., & Sunderman, M. (2017). Hospitality REITs and financial crisis: a comprehensive assessment of market quality. Journal of Property Investment & Finance, 35(3), 277-289.
https://doi.org/10.1108/JPIF-08-2016-0068
Jang, S., & Park, J. K. (2011). Hospitality finance research during the recent two decades. International Journal of Contemporary Hospitality Management, 23(4), 479-497. https://doi.org/10.1108/09596111111129995
Jirasakuldech, B., & Knight, J. (2005). Efficiency in the market for REITs: further evidence. Journal of Real Estate Portfolio Management, 11, 123-132.
Kim, H., Gu, Z., & Mattila, A. (2002a). Hotel real estate investment trusts’ risk features and beta determinants. Journal of Hospitality & Tourism Research, 26(2), 138-154. https://doi.org/10.1177/1096348002026002004
Kim, H., Mattila, A. S., & Gu, Z. (2002b). Performance of hotel real estate investment trusts: a comparative analysis of Jensen indexes. International Journal of Hospitality Management, 21(1), 85-97.
https://doi.org/10.1016/S0278-4319(01)00026-3
Kim, J., & Jang, S. (2012). Comparative analysis of hotel REITs: examining risk-return and performance characteristics. International Journal of Contemporary Hospitality Management, 24(4), 594-613. https://doi.org/10.1108/09596111211226842
Kim, J. H. (2009). Automatic variance ratio test under conditional heteroscedasticity. Finance Research Letters, 6, 179-185. https://doi.org/10.1016/j.frl.2009.04.003
Kim, J. H., Shamsuddin, A., & Lim, K. (2011). Stock return predictability and the adaptive markets hypothesis: evidence from century-long US data. Journal of Empirical Finance, 18, 868-879. https://doi.org/10.1016/j.jempfin.2011.08.002
Kim, S., H., Kim, W. G., & Hancer, M. (2009). Effect of IT investment announcements on the market value of hospitality firms using event study methodology. Tourism Economics, 15(2), 397-411. https://doi.org/10.5367/000000009788254304
Kim, W. G., Jackson, L., & Zhong, J. (2011). Performance comparison of lodging REITs, hotel C-corporations and resorts, and casinos. Tourism Economics, 17(1), 91-106.
https://doi.org/10.5367/te.2011.0023
Kleiman, R., Payne, J., & Sahu, A. (2002). Random walks and market efficiency: evidence from international real estate markets. Journal of Real Estate Research, 24, 279-297.
Koh, Y., & Lee, S. (2013). Stock market reactions to US hotel firms’ strategic alliances. Tourism Economics, 19(2), 373-391. https://doi.org/10.5367/te.2013.0210
Kuhle, J., & Alvayay, J. (2000). The efficiency of equity REIT prices. Journal of Real Estate Portfolio Management, 6, 349-354.
Kummerow, M., & Lun, J. C. (2005). Information and communication technology in the real estate industry: productivity, industry structure and market efficiency. Telecommunications Policy, 29, 173-190. https://doi.org/10.1016/j.telpol.2004.12.003
Lee, S., & Connolly, D. J. (2010). The impact of IT news on hospitality firm value using cumulative abnormal returns (CARs). International Journal of Hospitality Management, 29(3), 354-362. https://doi.org/10.1016/j.ijhm.2009.08.007
Liu, C. H., & Mei, J. (1992). The predictability of returns on equity REITs and their co-movement with other assets. The Journal of Real Estate Finance and Economics, 5(4), 401-418. https://doi.org/10.1007/BF00174808
Liu, P. P. (2010). Real estate investment trusts: performance, recent findings, and future directions. Cornell Hospitality Quarterly, 51(3), 415-428. https://doi.org/10.1177/1938965510370732
Lo, A. (2004). The adaptive markets hypothesis: market efficiency from an evolutionary perspective. Journal of Portfolio Management, 30, 15-29. https://doi.org/10.3905/jpm.2004.442611
Lo, A. (2005). Reconciling efficient markets with behavioral finance: the adaptive markets hypothesis. Journal of Investment Consulting, 7, 21-44.
Manning, C., O’Neill, J. W., Singh, A. J., Hood, S., Liu, C., & Bloom, B. A. (2015). The emergence of hotel/lodging real estate research. Journal of Real Estate Literature, 23(1), 1-26.
Mar-Molinero, C., Menéndez-Plans, C., & Orgaz-Guerrero, N. (2017). Has the 2008 financial crisis changed the factors determining the systematic risk of shares in the “European Hospitality Industry”? (2003–2013). Journal of Hospitality and Tourism Management, 31, 59-69. https://doi.org/10.1016/j.jhtm.2016.10.002
McIntosh, W., & Henderson, G. Jr. (1989). Efficiency of the office properties market. The Journal of Real Estate Finance and Economics, 2, 61-70. https://doi.org/10.1007/BF00161717
Oak, S., & Andrew, W. (2003). Evidence for weak-form market efficiency in hotel real estate markets. Journal of Hospitality & Tourism Research, 27(4), 436-447. https://doi.org/10.1177/10963480030274004
Payne, J. E. (2006). Further evidence of the transmission of shocks across REIT markets: an examination of REIT subsectors. Applied Financial Economics Letters, 2(3), 141-146. https://doi.org/10.1080/17446540500447629
Payne, J. E., & Waters, G. A. (2007). Have equity REITs experienced periodically collapsing bubbles? The Journal of Real Estate Finance and Economics, 34(2), 207-224. https://doi.org/10.1007/s11146-007-9007-0
Rayburn, W. B., Devaney, M., & Evans, R. D. (1987). A test of weak-form efficiency in residential real estate returns. AREUEA Journal, 15, 220-233. https://doi.org/10.1111/1540-6229.00429
Ro, S., & Ziobrowski, A. J. (2011). Does focus really matter? Specialized vs. diversified REITs. The Journal of Real Estate Finance and Economics, 42(1), 68-83. https://doi.org/10.1007/s11146-009-9189-8
Serrano, C., & Hoesli, M. (2010). Are securitized real estate returns more predictable than stock returns? The Journal of Real Estate Finance and Economics, 41, 170-192. https://doi.org/10.1007/s11146-008-9162-y
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Schindler, F. (2011). Market efficiency and return predictability in the emerging securitized real estate markets. Journal of Real Estate Literature, 19, 111-150. https://doi.org/10.2139/ssrn.1622720
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Su, J., Cheung, A., & Roca, E. (2012). Are securitized real estate markets efficient? New international evidence based on an improved automatic portmanteau test. Economic Modelling, 29, 684-690. https://doi.org/10.1016/j.econmod.2012.01.015
Tang, C. H., & Jang, S. (2008). The profitability impact of REIT requirements: a comparative analysis of hotel REITs and hotel C-corporations. International Journal of Hospitality Management, 27, 614-622. https://doi.org/10.1016/j.ijhm.2007.07.026
Urquhart, A., & Hudson, R. (2013). Efficient or adaptive markets? Evidence from major stock markets using very long run historic data. International Review of Financial Analysis, 28, 130-142. https://doi.org/10.1016/j.irfa.2013.03.005
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Barkham, R., & Geltner, D. (1995). Price discovery in American and British property markets. Real Estate Economics, 23(1), 21-44. https://doi.org/10.1111/1540-6229.00656
Block, R. (2012). Investing in REITs (4th ed.). New Jersey: Wiley. https://doi.org/10.1002/9781119202325
Bloom, B. (2009). The predictive ability of historic beta of hotel stocks in the 2008 market downturn. Journal of Hospitality Financial Management, 17(1), 47-61. https://doi.org/10.1080/10913211.2009.10653870
Borde, S. F., Byrd, A. K., & Atkinson, S. M. (1999). Stock price reaction to dividend increases in the hotel and restaurant sector. Journal of Hospitality & Tourism Research, 23(1), 40-52. https://doi.org/10.1177/109634809902300104
Brennan, T. J., & Lo, A. W. (2011). The origin of behavior. The Quarterly Journal of Finance, 1(01), 55-108. https://doi.org/10.1142/S201013921100002X
Cabrera, J., Wang, T., & Yang, J. (2011). Linear and nonlinear predictability of international securitized real estate returns: a reality check. Journal of Real Estate Research, 33, 565-594.
Case, K. E., & Shiller, R. J. (1989). The efficiency of the market for single-family homes. American Economic Review, 79, 125-137. https://doi.org/10.3386/w2506
Case, K. E., & Shiller, R. J. (1990). Forecasting prices and excess returns in the housing market. Real Estate Economics, 18(3), 253-273. https://doi.org/10.1111/1540-6229.00521
Charles, A., Darné, O., & Kim, J. H. (2012). Exchange-rate return predictability and the adaptive markets hypothesis: evidence from major foreign exchange rates. Journal of International Money and Finance, 31(6), 1607-1626. https://doi.org/10.1016/j.jimonfin.2012.03.003
Charles, A., Darné, O., & Kim, J. H. (2015). Will precious metals shine? A market efficiency perspective. International Review of Financial Analysis, 41, 284-291. https://doi.org/10.1016/j.irfa.2015.01.018
Choi, I. (1999). Testing the random walk hypothesis for real exchange rates. Journal of Applied Econometrics, 14, 293-308. https://doi.org/10.1002/(SICI)1099-1255(199905/06)14:3<293::AID-JAE503>3.0.CO;2-5
Dominguez, M. A., & Lobato, I. N. (2003). A consistent test for the martingale difference hypothesis. Econometric Reviews, 22, 351-377. https://doi.org/10.1081/ETC-120025895
Escanciano, J., & Lobato, I. (2009). An automatic Portmanteau test for serial correlation. Journal of Econometrics, 151, 140-149. https://doi.org/10.1016/j.jeconom.2009.03.001
Escanciano, J., & Velasco, C. (2006). Generalized spectral tests for the martingale difference hypothesis. Journal of Econometrics, 134, 151-185. https://doi.org/10.1016/j.jeconom.2005.06.019
Fama, E. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25, 383-417. https://doi.org/10.2307/2325486
Fama, E. (1991). Efficient capital markets: II. Journal of Finance, 46, 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x
Feng, Z., Price, S. M., & Sirmans, C. (2011). An overview of equity real estate investment trusts (REITs): 1993–2009. Journal of Real Estate Literature, 19(2), 307-343.
Gatzlaff, D., & Tirtiroğlu, D. (1995). Real estate market efficiency: issues and evidence. Journal of Real Estate Literature, 3(2), 157-189.
Gau, G. W. (1984). Weak form tests of the efficiency of real estate investment markets. Financial Review, 19(4), 301-320. https://doi.org/10.1111/j.1540-6288.1984.tb00652.x
Gau, G. (1985). Public information and abnormal returns in real estate investment. Journal of the American Real Estate and Urban Economics Association, 13, 15-31. https://doi.org/10.1111/1540-6229.00338
Ghazani, M., & Araghi, M. (2014). Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: evidence from the Tehran stock exchange. Research in International Business and Finance, 32, 50-59. https://doi.org/10.1016/j.ribaf.2014.03.002
Gibbons, M. R., Ross, S. A., & Shanken, J. (1989). A test of the efficiency of a given portfolio. Econometrica, 57, 1121-1152. https://doi.org/10.2307/1913625
Glabadanidis, P. (2014). The market timing power of moving averages: evidence from US REITs and REIT indexes. International Review of Finance, 14(2), 161-202.
https://doi.org/10.1111/irfi.12018
Gu, Z., & Kim, H. (2003). An examination of the determinants of hotel REITs’ unsystematic risk. Journal of Hospitality & Tourism Research, 27(2), 166-184. https://doi.org/10.1177/1096348003027002002
Hamilton, B. W., & Schwab, C. (1985). Expected appreciation in urban housing markets. Journal of Urban Economics, 18, 103-118. https://doi.org/10.1016/0094-1190(85)90030-0
Huang, C., Su, H., & Chiu, C. (2009). REIT market efficiency before and after inclusion in the S&P 500. Journal of Real Estate Portfolio Management, 15, 239-250.
Jackson, L. A. (2009). Lodging REIT performance and comparison with other equity REIT returns. International Journal of Hospitality & Tourism Administration, 10(4), 296-325. https://doi.org/10.1080/15256480903202383
Jain, P., Robinson, S., Singh, A. J., & Sunderman, M. (2017). Hospitality REITs and financial crisis: a comprehensive assessment of market quality. Journal of Property Investment & Finance, 35(3), 277-289.
https://doi.org/10.1108/JPIF-08-2016-0068
Jang, S., & Park, J. K. (2011). Hospitality finance research during the recent two decades. International Journal of Contemporary Hospitality Management, 23(4), 479-497. https://doi.org/10.1108/09596111111129995
Jirasakuldech, B., & Knight, J. (2005). Efficiency in the market for REITs: further evidence. Journal of Real Estate Portfolio Management, 11, 123-132.
Kim, H., Gu, Z., & Mattila, A. (2002a). Hotel real estate investment trusts’ risk features and beta determinants. Journal of Hospitality & Tourism Research, 26(2), 138-154. https://doi.org/10.1177/1096348002026002004
Kim, H., Mattila, A. S., & Gu, Z. (2002b). Performance of hotel real estate investment trusts: a comparative analysis of Jensen indexes. International Journal of Hospitality Management, 21(1), 85-97.
https://doi.org/10.1016/S0278-4319(01)00026-3
Kim, J., & Jang, S. (2012). Comparative analysis of hotel REITs: examining risk-return and performance characteristics. International Journal of Contemporary Hospitality Management, 24(4), 594-613. https://doi.org/10.1108/09596111211226842
Kim, J. H. (2009). Automatic variance ratio test under conditional heteroscedasticity. Finance Research Letters, 6, 179-185. https://doi.org/10.1016/j.frl.2009.04.003
Kim, J. H., Shamsuddin, A., & Lim, K. (2011). Stock return predictability and the adaptive markets hypothesis: evidence from century-long US data. Journal of Empirical Finance, 18, 868-879. https://doi.org/10.1016/j.jempfin.2011.08.002
Kim, S., H., Kim, W. G., & Hancer, M. (2009). Effect of IT investment announcements on the market value of hospitality firms using event study methodology. Tourism Economics, 15(2), 397-411. https://doi.org/10.5367/000000009788254304
Kim, W. G., Jackson, L., & Zhong, J. (2011). Performance comparison of lodging REITs, hotel C-corporations and resorts, and casinos. Tourism Economics, 17(1), 91-106.
https://doi.org/10.5367/te.2011.0023
Kleiman, R., Payne, J., & Sahu, A. (2002). Random walks and market efficiency: evidence from international real estate markets. Journal of Real Estate Research, 24, 279-297.
Koh, Y., & Lee, S. (2013). Stock market reactions to US hotel firms’ strategic alliances. Tourism Economics, 19(2), 373-391. https://doi.org/10.5367/te.2013.0210
Kuhle, J., & Alvayay, J. (2000). The efficiency of equity REIT prices. Journal of Real Estate Portfolio Management, 6, 349-354.
Kummerow, M., & Lun, J. C. (2005). Information and communication technology in the real estate industry: productivity, industry structure and market efficiency. Telecommunications Policy, 29, 173-190. https://doi.org/10.1016/j.telpol.2004.12.003
Lee, S., & Connolly, D. J. (2010). The impact of IT news on hospitality firm value using cumulative abnormal returns (CARs). International Journal of Hospitality Management, 29(3), 354-362. https://doi.org/10.1016/j.ijhm.2009.08.007
Liu, C. H., & Mei, J. (1992). The predictability of returns on equity REITs and their co-movement with other assets. The Journal of Real Estate Finance and Economics, 5(4), 401-418. https://doi.org/10.1007/BF00174808
Liu, P. P. (2010). Real estate investment trusts: performance, recent findings, and future directions. Cornell Hospitality Quarterly, 51(3), 415-428. https://doi.org/10.1177/1938965510370732
Lo, A. (2004). The adaptive markets hypothesis: market efficiency from an evolutionary perspective. Journal of Portfolio Management, 30, 15-29. https://doi.org/10.3905/jpm.2004.442611
Lo, A. (2005). Reconciling efficient markets with behavioral finance: the adaptive markets hypothesis. Journal of Investment Consulting, 7, 21-44.
Manning, C., O’Neill, J. W., Singh, A. J., Hood, S., Liu, C., & Bloom, B. A. (2015). The emergence of hotel/lodging real estate research. Journal of Real Estate Literature, 23(1), 1-26.
Mar-Molinero, C., Menéndez-Plans, C., & Orgaz-Guerrero, N. (2017). Has the 2008 financial crisis changed the factors determining the systematic risk of shares in the “European Hospitality Industry”? (2003–2013). Journal of Hospitality and Tourism Management, 31, 59-69. https://doi.org/10.1016/j.jhtm.2016.10.002
McIntosh, W., & Henderson, G. Jr. (1989). Efficiency of the office properties market. The Journal of Real Estate Finance and Economics, 2, 61-70. https://doi.org/10.1007/BF00161717
Oak, S., & Andrew, W. (2003). Evidence for weak-form market efficiency in hotel real estate markets. Journal of Hospitality & Tourism Research, 27(4), 436-447. https://doi.org/10.1177/10963480030274004
Payne, J. E. (2006). Further evidence of the transmission of shocks across REIT markets: an examination of REIT subsectors. Applied Financial Economics Letters, 2(3), 141-146. https://doi.org/10.1080/17446540500447629
Payne, J. E., & Waters, G. A. (2007). Have equity REITs experienced periodically collapsing bubbles? The Journal of Real Estate Finance and Economics, 34(2), 207-224. https://doi.org/10.1007/s11146-007-9007-0
Rayburn, W. B., Devaney, M., & Evans, R. D. (1987). A test of weak-form efficiency in residential real estate returns. AREUEA Journal, 15, 220-233. https://doi.org/10.1111/1540-6229.00429
Ro, S., & Ziobrowski, A. J. (2011). Does focus really matter? Specialized vs. diversified REITs. The Journal of Real Estate Finance and Economics, 42(1), 68-83. https://doi.org/10.1007/s11146-009-9189-8
Serrano, C., & Hoesli, M. (2010). Are securitized real estate returns more predictable than stock returns? The Journal of Real Estate Finance and Economics, 41, 170-192. https://doi.org/10.1007/s11146-008-9162-y
Schindler, F., Rottke, N., & Fuss, R. (2010). Testing the predictability and efficiency of securitized real estate markets. Journal of Real Estate Portfolio Management, 16, 171-191.
Schindler, F. (2011). Market efficiency and return predictability in the emerging securitized real estate markets. Journal of Real Estate Literature, 19, 111-150. https://doi.org/10.2139/ssrn.1622720
Simon, H. (1955). A behavioral model of rational choice. Quarterly Journal of Economics, 69, 99-118. https://doi.org/10.2307/1884852
Simon, H. (1982). Models of bounded rationality (Vols. 1 and 2). Cambridge, MA: MIT Press.
Su, J., Cheung, A., & Roca, E. (2012). Are securitized real estate markets efficient? New international evidence based on an improved automatic portmanteau test. Economic Modelling, 29, 684-690. https://doi.org/10.1016/j.econmod.2012.01.015
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