We investigate the degree of return predictability of lodging/resort real estate investment trusts (REITs) from January 1994 to May 2016. We test the Martingale hypothesis by using linear (automatic portmanteau and automatic variance ratio with rolling windows) and nonlinear tests (generalized spectral shape tests and Dominguez-Lobato consistent tests). Our findings support the Adaptive Market Hypothesis (AMH) and reveal that returns experience periods of both dependence and independence. We document time-varying predictability of lodging/resort REITs with returns as both initially predictable and subsequently unpredictable throughout the majority of the period of analysis. Moreover, we find that if traders use simple technical trading moving average rules, they can capitalize on the inefficiencies of lodging/resort REITs. Finally, we observe that absolute returns and Sharpe ratios of technical moving average rules outperform a simple buy-and-hold strategy.

中文翻译：

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市场适应吗？房地产/房地产投资信托的可预测性和市场效率的证据

我们调查了1994年1月至2016年5月的住宿/度假房地产投资信托（REIT）的收益可预测性程度。我们使用线性（自动Portmanteau和带有滚动窗口的自动方差比）和非线性检验（广义谱）来检验Mar假设。形状测试和Dominguez-Lobato一致性测试）。我们的发现支持自适应市场假说（AMH），并揭示了收益经历依赖和独立的时期。我们记录了住宿/度假村REIT随时间变化的可预测性，在整个分析期间的大部分时间里，收益都是最初可预测的，随后是不可预测的。此外，我们发现，如果交易者使用简单的技术交易移动平均线规则，他们可以利用住宿/度假REIT的低效率。最后，