Momentum Profitability and Market Trend: Evidence from REITs

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW. Terms of use: Documents in EconStor mayDownload this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp10004.pdf Non-technical SummaryResearch strategy. In general, we can conclude that investors might be likely to earn excess returns by using past information in the U.S. housing market, in particular when standardized derivatives of the indices are traded on exchange markets. However, due to data limitations, the analysis does not conduct the tests based on prices and price changes in derivatives. This analysis would give further empirical evidence whether inefficiencies in the U.S. housing market are exploitable or whether they are incorporated into the pricing process of tradable products and are thus not exploitable by investors.-II - we apply technical trading strategies to test whether or not the inefficiencies can be exploited by investors earning excess returns. The empirical findings suggest that investors might be able to obtain excess returns from both autocorrelation-and moving average-based trading strategies compared to a buy-and-hold strategy. Das Wichtigste in Kürze

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How Efficient is the U.K. Housing Market?

Schindler

2010

SSRN Journal

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Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp10030.pdf Non-technical SummaryResearch in real estate finance and economics has been dealing with the topic of efficiency in the housing market for over 25 years, mainly for the U.S., Canada, and the U.K. Most recent research on this topic either only examines local markets based on single homes or focuses on structural, sectoral or macro economic methods and models. By contrast, our analysis focuses on univariate analysis, thereby examining the memory of the individual house price series and the information contained in the time series with respect to future house prices. strategy. In general, we can conclude that market participants can use the information which is contained in the time series for their forecast; also, and investors might be likely to earn excess returns by using past information in the U.K. housing market, in particular when short selling or other types of participation in downward-moving markets is allowed and accessible. The identified inefficiencies are much stronger for the southern parts than for the northern parts of the U.K.-II - that investors might be able to obtain excess returns from both autocorrelation-and moving average-based strategies compared to a buy-and-hold strategy for 10 out of 14 markets. Das Wichtigste in Kürze

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Momentum Profitability and Market Trend: Evidence from REITs

Cited by 4 publications

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Momentum Profits in Australian Listed Property Trusts

Momentum Profits in Australian Listed Property Trusts

Further Evidence on the (In-) Efficiency of the U.S. Housing Market

How Efficient is the U.K. Housing Market?

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