Public Information and Abnormal Returns in Real Estate Investment
检验房地产投资市场半强式有效性，发现政府税收庇护和租金管制政策变化及利率变动未带来显著异常收益，支持有效市场假说。
This study performs empirical tests of the semistrong form efficiency of a real estate investment market. An asset pricing model is utilized to estimate the abnormal returns resulting from two types of public information, major changes in government tax shelter and rent control policies as well as unanticipated changes in interest rates. In both cases the results find an absence of significant abnormal returns and no evidence to suggest that real estate investors can utilize information concerning government policy changes or interest rate movements to earn higher returns on a risk‐adjusted basis. In general the findings of this study conform to the semistrong form version of the efficient markets hypothesis.