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Momentum Profitability and Market Trend: Evidence from REITs

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  • Szu-Yin Hung

    ()

  • John Glascock

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s11146-007-9056-4
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Bibliographic Info

Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 37 (2008)
Issue (Month): 1 (July)
Pages: 51-69

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Handle: RePEc:kap:jrefec:v:37:y:2008:i:1:p:51-69

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Web page: http://www.springerlink.com/link.asp?id=102945

Related research

Keywords: Real Estate Investment Trusts (REIT); Momentum predictability; Market states; Dividend-growth-rate model;

References

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  1. 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, 06.
  2. 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 1093-99, September.
  3. K.C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," NBER Working Papers 3311, National Bureau of Economic Research, Inc.
  4. 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 301-17, May.
  5. 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.
  6. 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 367-73, December.
  7. 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.
  8. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 36-58.
  9. 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.
  10. 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.
  11. Timothy C. Johnson, 2002. "Rational Momentum Effects," Journal of Finance, American Finance Association, vol. 57(2), pages 585-608, 04.
  12. 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 513-33, October.
  13. 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.
  14. 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.
  15. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  16. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, 04.
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Citations

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Cited by:
  1. James Chong & Alexandra Krystalogianni & Simon Stevenson, . "Dynamic Correlations across REIT Sub-Sectors," Real Estate & Planning Working Papers rep-wp2011-07, Henley Business School, Reading University.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.

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