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Momentum in Residential Real Estate

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  • Eli Beracha

    ()

  • Hilla Skiba

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11146-009-9210-2
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    Bibliographic Info

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

    Volume (Year): 43 (2011)
    Issue (Month): 3 (October)
    Pages: 299-320

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    Handle: RePEc:kap:jrefec:v:43:y:2011:i:3:p:299-320

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

    Related research

    Keywords: Momentum; Residential real estate; Predictable returns; Zero cost portfolios;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    5. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, American Finance Association, vol. 48(1), pages 65-91, March.
    6. Rangan Gupta & Stephen Miller, 2012. "“Ripple effects” and forecasting home prices in Los Angeles, Las Vegas, and Phoenix," The Annals of Regional Science, Springer, Springer, vol. 48(3), pages 763-782, June.
    7. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross-Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 61(1), pages 259-299, 02.
    8. Shiller, Robert J., 2007. "Understanding Recent Trends in House Prices and Home Ownership," Working Papers 28, Yale University, Department of Economics.
    9. K. Geert Rouwenhorst, 1998. "International Momentum Strategies," Journal of Finance, American Finance Association, American Finance Association, vol. 53(1), pages 267-284, 02.
    10. George W. Gau, 1987. "Efficient Real Estate Markets: Paradox or Paradigm?†," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(2), pages 1-12.
    11. Brounen, D., 2008. "The Boom and Gloom of Real Estate Markets," ERIM Inaugural Address Series Research in Management EIA-2008-035-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..
    12. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 58(2), pages 277-97, April.
    13. Steve Thomas, 2006. ""Discussion of" Short Sales Constraints and Momentum in Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(3-4), pages 616-631.
    14. Simon Gervais & Terrance Odean, . "Learning To Be Overconfident," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 5-97, Wharton School Rodney L. White Center for Financial Research.
    15. Yuming Fu & Lilian K Ng, 2000. "Market Efficiency and Return Statistics: Evidence from Real Estate and stock Markets Using a Present-Value Approach," Wisconsin-Madison CULER working papers, University of Wisconsin Center for Urban Land Economic Research 00-03, University of Wisconsin Center for Urban Land Economic Research.
    16. William L. Attebery & Ronald C. Rutherford & Mark E. Eakin, 1993. "Industrial Real Estate Prices and Market Efficiency," Journal of Real Estate Research, American Real Estate Society, American Real Estate Society, vol. 8(3), pages 377-386.
    17. Ashiq Ali & Mark A. Trombley, 2006. "Short Sales Constraints and Momentum in Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(3-4), pages 587-615.
    18. Robert Shiller, 2007. "Understanding Recent Trends in House Prices and Home Ownership," Yale School of Management Working Papers, Yale School of Management amz2557, Yale School of Management, revised 01 Nov 2007.
    19. Linneman, Peter, 1986. "An empirical test of the efficiency of the housing market," Journal of Urban Economics, Elsevier, vol. 20(2), pages 140-154, September.
    20. Chui, Andy C. W. & Titman, Sheridan & Wei, K. C. John, 2003. "Intra-industry momentum: the case of REITs," Journal of Financial Markets, Elsevier, Elsevier, vol. 6(3), pages 363-387, May.
    21. Karl E. Case & Robert J. Shiller, 1990. "Forecasting Prices and Excess Returns in the Housing Market," NBER Working Papers 3368, National Bureau of Economic Research, Inc.
    22. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, American Finance Association, vol. 52(1), pages 57-82, March.
    23. X. Frank Zhang, 2006. "Information Uncertainty and Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 61(1), pages 105-137, 02.
    24. Szu-Yin Hung & John Glascock, 2008. "Momentum Profitability and Market Trend: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 37(1), pages 51-69, July.
    25. Robert J Shiller, 2008. "Historic Turning Points in Real Estate," Eastern Economic Journal, Palgrave Macmillan, vol. 34(1), pages 1-13, Winter.
    26. Otmar Issing, 2007. "Understanding recent trends in house prices and homeownership: general discussion," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City, pages 139-148.
    27. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, American Finance Association, vol. 40(3), pages 793-805, July.
    28. Charles M.C. Lee & Bhaskaran Swaminathan, 2000. "Price Momentum and Trading Volume," Journal of Finance, American Finance Association, American Finance Association, vol. 55(5), pages 2017-2069, October.
    29. Gau, George W, 1984. "Weak Form Tests of the Efficiency of Real Estate Investment Markets," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 19(4), pages 301-20, November.
    30. Christopher J. Mayer, 2007. "Understanding recent trends in house prices and homeownership: commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City, pages 125-137.
    31. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, American Finance Association, vol. 56(2), pages 699-720, 04.
    32. Chan, Louis K C & Jegadeesh, Narasimhan & Lakonishok, Josef, 1996. " Momentum Strategies," Journal of Finance, American Finance Association, American Finance Association, vol. 51(5), pages 1681-1713, December.
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    Cited by:
    1. Eli Beracha & Hilla Skiba, 2013. "Findings from a Cross-Sectional Housing Risk-Factor Model," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 47(2), pages 289-309, August.

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