• Mon - Fri: 10 am - 5 pm
  • Mississauga, Ontario, Canada

Global Financial Researches

Researchers are contributing to the Financial World every day.
Follow the most classic and pragmatic Researches of Financial Research Analysts.


Powered By Academy of IFRA®



2022-05-13

Do Momentum-Based Strategies Work in Real Estate Investment Trust?

Research on the time series momentum for the Real Estate Investment Trust (REIT) is rare in the existing literature. This paper aims to contribute to the literature by examining whether time series momentum works for the United States REIT market. We also compare profitability with the standard price momentum for REITs, especially with more recent data during the zero-interest-rate period from 2008 to 2015. It is found that taking long positions by employing momentum strategies can generate an average monthly return of about 0% to 5% for the REITs in the United States. The momentum profits do fluctuate across the sample period but do not diminish over time.

Author - Terence Tai-Leung Chong , Hugo Tak-Sang Ip, Yuchen Liu
Journal - Asian Journal of Economics and Finance

Source - https://arfjournals.com/abstract/95769_6_terence.pdf