On the Earnings and Price Momentum Strategies: Evidence from European Real Estate Firms

Bron, Jochem; Ghosh, Chinmoy; Petrova, Milena

doi:10.1007/s11146-017-9633-0

Cited by 9 publications

(12 citation statements)

References 32 publications

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“…Hao et al (2016) find empirical evidence that different winner and loser portfolios strategies deliver different momentum returns in the REITs' industry. In another empirical paper, Bron et al (2017) studied REITs in Europe and United Kingdom and found evidence of momentum, differentiating between price and earnings momentum. Using a direct measure for continuing overreaction of Byun et al (2016), Liu and Lu (2019) find that a continuing overreaction strategy in American REITs would earn positive and significant returns.…”

Section: Reitsmentioning

confidence: 99%

Dividend-yield variation as an asset selection criterion in momentum strategies of Brazilian real estate investment trusts

Greenhalgh

Campani

2023

Rev. contab. finanç.

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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 the relevance of the DY ratio for the asset class. The studied strategies delivered results above the industry’s index with expressive magnitude, are of simple elaboration, and can be applied by any individual or institutional investor. Portfolios’ performances were measured by Sharpe ratio (SR), alpha of the Fama and French three-factor model, and excess returns obtained in relation to the BR-REITs’ index. Statistical tests were applied to verify the significance of the results. This study showed that strategies around the momentum effect that buy (sell) BR-REITs with greater (smaller) DY variations in previous months tended to have superior performance to the industry’s index.

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Section: Reitsmentioning

confidence: 99%

Dividend-yield variation as an asset selection criterion in momentum strategies of Brazilian real estate investment trusts

Greenhalgh

Campani

2023

Rev. contab. finanç.

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“…Hao et al (2016) identificam evidências empíricas de que diferentes estratégias de carteiras vencedoras e perdedoras oferecem retornos de momento diferentes no setor de FII. Em outro artigo empírico, Bron et al (2017) estudaram FII na Europa e no Reino Unido e identificaram evidências de momento, diferenciando o momento de preços do momento de lucros. Usando uma métrica direta para dar continuidade à reação excessiva de Byun et al (2016), Liu e Lu (2019) constataram que uma estratégia de reação excessiva contínua nos REIT traria retornos positivos e significativos.…”

Section: Fiiunclassified

Variação do dividend-yield como critério de seleção de ativos em estratégias de momento de fundos de investimentos imobiliários brasileiros

Greenhalgh

Campani

2023

Rev. contab. finanç.

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RESUMO Nosso objetivo foi mostrar o uso da variação do rendimento de dividendos (dividend-yield [DY]) como critério de seleção dos fundos de investimentos imobiliários brasileiros (FII-BR) em estratégias de momento. A identificação de momento em FII-BR com base nesse critério de seleção é, até onde sabemos, nova e origina diferentes estratégias que capturam retornos anormais. Este estudo proporciona uma nova compreensão da dinâmica entre preços e pagamentos de dividendos, que compõem os retornos dos FII-BR. Isso assume grande importância, considerando a relevância do DY para a classe de ativos. As estratégias estudadas apresentaram resultados acima dos índices do setor com expressiva magnitude, sua elaboração é simples e elas podem ser aplicadas por qualquer investidor individual ou institucional. Os desempenhos das carteiras foram mensurados por meio do índice de Sharpe (IS), do alfa do modelo de três fatores de Fama e French e dos retornos excessivos obtidos em relação ao índice FII-BR. Testes estatísticos foram aplicados para verificar a significância dos resultados. Este estudo mostrou que estratégias em torno do efeito de momento que compram (vendem) FII-BR com maiores (menores) variações de DY em meses anteriores tendem a apresentar desempenho superior ao índice do setor.

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“…Since then, several studies have explored drivers of momentum returns across asset classes, developed and emerging markets, different study periods and different look back and holding periods. Several studies established that momentum strategy works across asset classes such as equity (Paule-Vianez et al , 2020), commodities (Yan and Garcia, 2017), currency (Menkhoff et al , 2012a), commodity futures (Jaiswal, 2021), bonds (Polbennikov et al , 2021), mutual funds (Wongchoti, 2013), exchange-traded funds (Vanstone et al , 2021), green stocks (Chakrabarti and Sen, 2020), real estate (Bron et al , 2018) and in different sectors (Ahmad and Abu-Ghunmi, 2021). While momentum returns seem persistent and pervasive, they manifest differently in different markets and asset classes.…”

Section: Introductionmentioning

confidence: 99%

Decoding momentum returns: an integrated bibliometric and content analysis approach

Joshipura

Wats²

2022

QRFM

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Purpose Over the past three decades, numerous conceptual and empirical studies have discussed momentum investment strategies’ presence, pervasiveness and persistence. However, science mapping in the field is inadequate. Hence, this study aims to comprehend and explore current dynamics, understand knowledge progression, elicit trends through thematic map analysis, synthesize knowledge structures and provide future research directions in this domain. Design/methodology/approach The study applies bibliometric analysis on 562 Scopus indexed articles from 1986 to 2021. Biblioshiny version 3.1.4, a Web-based application included in Bibiliometrix package developed in R-language (Aria and Cuccurullo, 2017), was used to examine: the most prominent articles, journals, authors, institutions and countries and to understand the thematic evolution and to elicit trends through the synthesis of knowledge structures including conceptual, intellectual and social structures of the field. Findings Motor themes, basic transverse, niche and emerging and declining themes were identified using (Callon, 1991) strategic thematic map. Besides, four major clusters based on a cocitation network of documents were identified: empirical evidence and drivers of momentum returns, theories explaining momentum returns and implications for asset pricing and market efficiency, avoiding momentum crashes and momentum in alternative asset classes, alternative explanations for momentum returns. The study infers that momentum research is becoming multidisciplinary given the dominance of behavioral theories and economic aspects in explaining the persistence of momentum profits and offers future research directions. Research limitations/implications The study deploys bibliometric analysis, appropriate for deriving insights from the vast extant literature. However, a meta-analysis might offer deeper insights into specific dimensions of the research topic. Besides, the study’s findings are based on Scopus indexed articles analyzed using bibilioshiny; the database and software limitations might have affected the findings. Practical implications The study is a ready reckoner for scholars who intend to recognize the evolution of momentum investment strategies, current dynamics and future research direction. The study offers practitioners insights into efficiently designing and deploying momentum investment strategies and ways to avoid momentum crashes. Social implications The study offers insights into the irrational behavior and systematic errors committed by market participants that helps regulators and policymakers to direct investors’ educational efforts to minimize systematic behavioral errors and related adverse financial consequences. Originality/value This comprehensive study on momentum investment strategies evaluates research trends and current dynamics draws a thematic map, knowledge progression in the field and offers future research directions.

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On the Earnings and Price Momentum Strategies: Evidence from European Real Estate Firms

Cited by 9 publications

References 32 publications

Dividend-yield variation as an asset selection criterion in momentum strategies of Brazilian real estate investment trusts

Dividend-yield variation as an asset selection criterion in momentum strategies of Brazilian real estate investment trusts

Variação do dividend-yield como critério de seleção de ativos em estratégias de momento de fundos de investimentos imobiliários brasileiros

Decoding momentum returns: an integrated bibliometric and content analysis approach

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