Real estate market efficiency

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Abstract
The application of modern portfolio theory to the investment in shares and bonds is integrally connected with the efficient market hypothesis. The requirement of multivariate normality of security returns is a sufficient condition for equilibrium asset pricing models such as the capital asset pricing model to theoretical work. Nevertheless the empirical relevance in decision making is firmly based on the efficiency of the capital market. If real estate investors are to avail themselves of these techniques it is first necessary to ensure the requirements of the efficient market hypothesis are satisfied in the context of the property market. This paper reports the results of such an inquiry into the British and Australian real estate markets.

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