USF St. Petersburg campus Faculty Publications
Real estate securities and a filter-based short-term trading strategy.
Document Type
Article
Publication Date
1999
ISSN
0896-5803
Abstract
Anecdotal evidence provides overwhelming support to the belief that sophisticated real estate investors profit by timing long-run real estate cycles. This article examines the investment performance benefits that sophisticated investors may derive from short-run cycles in real estate, specifically, through the publicly traded real estate markets. Using a simple strategy that filters out noise in real estate investment trust (REIT) price reversals, this study shows that a contrarian strategy is many times more profitable than the associated execution costs. Furthermore, the study demonstrates that the REIT market has been sufficiently liquid to execute this trading strategy. This last point is directly related to the filter strategy since only REITs with large price movements satisfy the hypothetical investor's selection criteria.
Language
en_US
Publisher
American Real Estate Society
Recommended Citation
Cooper, M., Downs, David H. & Patterson, G.A. (1999). Real estate securities and a filter-based short-term trading strategy. Journal of Real Estate Research, 18, 313-333.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Comments
Citation only. Full-text article is available through licensed access provided by the publisher. Published in Journal of Real Estate Research, 18, 313-333. Members of the USF System may access the full-text of the article through the authenticated link provided.