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Department of Economics, Lund University Working Papers, Department of Economics, Lund University

No 2001:8:
Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998

Andreas Graflund ()

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.

Keywords: real estate; real estate stocks; market efficiency; seasonal effects; mean reversion; (follow links to similar papers)

JEL-Codes: G10; G12; G14; (follow links to similar papers)

17 pages, June 15, 2001

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