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Momentum Profitability and Market Trend: Evidence from REITs

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  • Szu-Yin Hung
  • John Glascock

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  • Szu-Yin Hung & John Glascock, 2008. "Momentum Profitability and Market Trend: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 51-69, July.
    • Handle: RePEc:kap:jrefec:v:37:y:2008:i:1:p:51-69
    DOI: 10.1007/s11146-007-9056-4
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    References listed on IDEAS

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    1. Chui, Andy C. W. & Titman, Sheridan & Wei, K. C. John, 2003. "Intra-industry momentum: the case of REITs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 363-387, May.
    2. Jagannathan, Ravi & Wang, Zhenyu, 1996. "The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
    3. John L. Glascock & David Michayluk & Karyn Neuhauser, 2004. "The Riskiness of REITs Surrounding the October 1997 Stock Market Decline," The Journal of Real Estate Finance and Economics, Springer, vol. 28(4), pages 339-354, May.
    4. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
    5. Narasimhan Jegadeesh, 2002. "Cross-Sectional and Time-Series Determinants of Momentum Returns," The Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 143-157, March.
    6. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
    7. Timothy C. Johnson, 2002. "Rational Momentum Effects," Journal of Finance, American Finance Association, vol. 57(2), pages 585-608, April.
    8. Mitchell C. Conover & H. Swint Friday & Shelly W. Howton, 2000. "An Analysis of the Cross Section of Returns for EREITs Using a Varying-Risk Beta Model," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 28(1), pages 141-163.
    9. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-1099, September.
    10. Michael J. Cooper & Roberto C. Gutierrez & Allaudeen Hameed, 2004. "Market States and Momentum," Journal of Finance, American Finance Association, vol. 59(3), pages 1345-1365, June.
    11. K. C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 431-452, December.
    12. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    13. John S. Howe & James D. Shilling, 1990. "REIT Advisor Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 479-500, December.
    14. Glascock, John L & Lu, Chiuling & So, Raymond W, 2002. "REIT Returns and Inflation: Perverse or Reverse Causality Effects?," The Journal of Real Estate Finance and Economics, Springer, vol. 24(3), pages 301-317, May.
    15. Cochrane, John H, 1996. "A Cross-Sectional Test of an Investment-Based Asset Pricing Model," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 572-621, June.
    16. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," The Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July.
    17. Cumby, Robert E & Glen, Jack D, 1990. "Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, vol. 45(2), pages 497-521, June.
    18. Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    19. Narasimhan Jegadeesh & Sheridan Titman, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
    20. Glascock, John L, 1991. "Market Conditions, Risk, and Real Estate Portfolio Returns: Some Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 4(4), pages 367-373, December.
    21. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
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    Cited by:

    1. Bilgehan Tekin, 2021. "The Factors Affecting the Market Value/Book Value and Profitability of REITs in Turkey," International Real Estate Review, Global Social Science Institute, vol. 24(3), pages 469-499.
    2. Ying Zhang & J. Andrew Hansz, 2022. "Industry Concentration and U.S. REIT Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 247-267, March.
    3. Steffen Westermann & Scott Niblock & Michael Kortt, 2018. "Corporate social responsibility and the performance of Australian REITs: a rolling regression approach," Journal of Asset Management, Palgrave Macmillan, vol. 19(4), pages 222-234, July.
    4. Lee, Jen-Sin & Huang, Gow-Liang & Kuo, Chin-Tai & Lee, Liang-Chien, 2012. "The momentum effect on Chinese real estate stocks: Evidence from firm performance levels," Economic Modelling, Elsevier, vol. 29(6), pages 2392-2406.
    5. Wikrom Prombutr & Chanwit Phengpis & Ying Zhang, 2023. "Anomalies in U.S. REIT Returns: Evidence for and against the Q-theory," International Real Estate Review, Global Social Science Institute, vol. 26(1), pages 43-71.
    6. Steffen Westermann & Scott J. Niblock & Michael A. Kortt, 2018. "A Review of Corporate Social Responsibility and Real Estate Investment Trust Studies: An Australian Perspective," Economic Papers, The Economic Society of Australia, vol. 37(1), pages 92-110, March.
    7. Szu-Yin Hung & John Glascock, 2010. "Volatilities and Momentum Returns in Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 126-149, August.
    8. Bill Dimovski & Christopher Ratcliffe & Monica Keneley, 2017. "Another piece of the puzzle: REIT IPO underpricing after the financial crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(3), pages 264-276, April.
    9. Ying Hao & Hsiang-Hui Chu & Kuan-Cheng Ko & Lin Lin, 2016. "Momentum Strategies and Investor Sentiment in the REIT Market," International Review of Finance, International Review of Finance Ltd., vol. 16(1), pages 41-71, March.
    10. James Chong & Alexandra Krystalogianni & Simon Stevenson, "undated". "Dynamic Correlations across REIT Sub-Sectors," Real Estate & Planning Working Papers rep-wp2011-07, Henley Business School, University of Reading.
    11. Haiwei Chen & Ansley Chua & Changha Jin, 2013. "Analyst Forecasting Errors in REITs," International Real Estate Review, Asian Real Estate Society, vol. 16(1), pages 48-67.
    12. Yung, Kenneth & Nafar, Nadia, 2017. "Investor attention and the expected returns of reits," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 423-439.
    13. Eli Beracha & Hilla Skiba, 2011. "Momentum in Residential Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 43(3), pages 299-320, October.
    14. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
    15. Paul Goebel & David Harrison & Jeffrey Mercer & Ryan Whitby, 2013. "REIT Momentum and Characteristic-Related REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 47(3), pages 564-581, October.
    16. Alhashel, Bader S. & Almudhaf, Fahad W. & Hansz, J. Andrew, 2018. "Can technical analysis generate superior returns in securitized property markets? Evidence from East Asia markets," Pacific-Basin Finance Journal, Elsevier, vol. 47(C), pages 92-108.
    17. Ming-Chi Chen & Chi-Lu Peng & So-De Shyu & Jhih-Hong Zeng, 2012. "Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 364-382, August.
    18. Shaun Bond & Chen Xue, 2017. "The Cross Section of Expected Real Estate Returns: Insights from Investment-Based Asset Pricing," The Journal of Real Estate Finance and Economics, Springer, vol. 54(3), pages 403-428, April.
    19. Jochem J. Bron & Chinmoy Ghosh & Milena Petrova, 2018. "On the Earnings and Price Momentum Strategies: Evidence from European Real Estate Firms," The Journal of Real Estate Finance and Economics, Springer, vol. 57(3), pages 400-430, October.
    20. S. Price & Dean Gatzlaff & C. Sirmans, 2012. "Information Uncertainty and the Post-Earnings-Announcement Drift Anomaly: Insights from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 250-274, January.
    21. Massimo Guidolin & Manuela Pedio, 2019. "How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs," BAFFI CAREFIN Working Papers 19117, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    22. Geoffrey M. Ngene & Catherine Anitha Manohar & Ivan F. Julio, 2020. "Overreaction in the REITs Market: New Evidence from Quantile Autoregression Approach," JRFM, MDPI, vol. 13(11), pages 1-28, November.
    23. James Chong & Alexandra Krystalogianni & Simon Stevenson, 2012. "Dynamic correlations between REIT sub-sectors and the implications for diversification," Applied Financial Economics, Taylor & Francis Journals, vol. 22(13), pages 1089-1109, July.
    24. Mohammad Sharik Essa & Evangelos Giouvris, 2023. "Fama–French–Carhart Factor-Based Premiums in the US REIT Market: A Risk Based Explanation, and the Impact of Financial Distress and Liquidity Crisis from 2001 to 2020," IJFS, MDPI, vol. 11(1), pages 1-39, January.
    25. Tsung‐Yu Chen & Guan‐Ying Huang & Zhen‐Xing Wu, 2022. "Overreaction‐based momentum in the real estate investment trust market," International Review of Finance, International Review of Finance Ltd., vol. 22(3), pages 453-471, September.

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