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Journal of Hospitality & Tourism Research, Vol. 27, No. 4, 436-447 (2003)
DOI: 10.1177/10963480030274004
© 2003 ICHRIE

Evidence for Weak-Form Market Efficiency in Hotel Real Estate Markets

Seonghee Oak

Pennsylvania State University, Sxo141{at}psu.edu

William P. Andrew

Pennsylvania State University, wpa{at}psu.edu

The purpose of this study is to test for evidence of weak-form market efficiency in hotel real estate markets by measuring how rapidly price changes diffuse in geographically proximal areas. Using autocorrelation and cross-correlation analysis, we found that there is little evidence that past hotel prices predict future hotel prices in the same city as well as neigh- boring cities. In addition, buy-and-sell trading strategies based on the information in past hotel prices did not earn higher returns than buy-and-hold strategies. The results of this study are supportive of the existence of weak-form market efficiency in the pricing of hotel real estate.

Key Words: market efficiency • hotel valuation


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