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Momentum Strategies with Home Price Indices and Stocks

Author

Listed:
  • Yuming Li

    (California State University at Fullerton)

  • Jing Yang

    (California State University at Fullerton)

Abstract

We investigate the profitability of momentum strategies in the market for single-family homes by using 10 city-level Case-Shiller home price indices (HPIs). Compared with the momentum strategies based on the Fama-French 10-industry portfolios of stocks, the profits from the single-family HPIs are more statistically significant, less sensitive to the construction methods of the momentum strategies and more correlated across different strategies. The momentum profits from the HPIs tend to be counter-cyclical, unlike the pro-cyclical behaviors of the momentum profits from stock portfolios. The differences in the momentum profits with HPIs and stocks indicate that a momentum strategy with the former can help diversify the risk in the asset portfolio of investors.

Suggested Citation

  • Yuming Li & Jing Yang, 2020. "Momentum Strategies with Home Price Indices and Stocks," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 235-266.
    • Handle: RePEc:ire:issued:v:23:n:02:2020:p:235-266
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    References listed on IDEAS

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    More about this item

    Keywords

    Real Estate Portfolio; Momentum Strategy; Risk Diversification;
    All these keywords.

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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