Abstract
This study examines the existence of excess returns of the office, retail and industrial real estate sectors in Hong Kong using time series of both valuations and transaction prices. The analysis covers the period from 1980 to 1995. If valuations are an accurate reflection of transaction prices then excess returns, if they exist, should be detected in both series. Our findings confirm that excess returns can be detected in both valuation and transaction-based series. They are not, however, persistent although there appear to be greater opportunities for earning excess returns in the office sector.
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