2023
DOI: 10.1590/1808-057x20221667.en
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Dividend-yield variation as an asset selection criterion in momentum strategies of Brazilian real estate investment trusts

Abstract: We aimed at showing the usage of the dividend-yield (DY) variation as a criterion for selecting Brazilian real estate investment trusts (BR-REITs) in momentum strategies. The identification of momentum in BR-REITs with this selection criterion is, to the best of our knowledge, new and gives rise to different strategies that seize abnormal returns. This study allows a new understanding of the dynamics between prices and dividend payments, which compose BR-REITs returns. It is of major importance, considering th… Show more

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