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Performance of Pairs Trading Strategy in the U.S. REIT Market

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  • Masaki Mori
  • Alan J. Ziobrowski

Abstract

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Suggested Citation

  • Masaki Mori & Alan J. Ziobrowski, 2011. "Performance of Pairs Trading Strategy in the U.S. REIT Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 39(3), pages 409-428, September.
    • Handle: RePEc:bla:reesec:v:39:y:2011:i:3:p:409-428
    DOI: j.1540-6229.2010.00302.x
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    Citations

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    Cited by:

    1. Fabio Pizzutilo, 2013. "A Note on the Effectiveness of Pairs Trading For Individual Investors," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 763-771.
    2. Laila Taskeen Qazi & Atta Ur Rahman & Saleem Gul, 2015. "Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(3), pages 215-244.
    3. Zhe Huang & Franck Martin, 2017. "Optimal pairs trading strategies in a cointegration framework," Economics Working Paper Archive (University of Rennes & University of Caen) 2017-08, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
    4. Krauss, Christopher, 2015. "Statistical arbitrage pairs trading strategies: Review and outlook," FAU Discussion Papers in Economics 09/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    5. Woltering, René-Ojas & Weis, Christian & Schindler, Felix & Sebastian, Steffen, 2018. "Capturing the value premium – global evidence from a fair value-based investment strategy," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 53-69.
    6. Masaki Mori, 2015. "Information Diffusion in the U.S. Real Estate Investment Trust Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 190-214, August.
    7. Lei, Yaoting & Xu, Jing, 2015. "Costly arbitrage through pairs trading," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 1-19.
    8. Geetu Aggarwal & Navdeep Aggarwal, 2021. "Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 79-99, March.
    9. Hui, Eddie C.M. & Chan, Ka Kwan Kevin, 2019. "Alternative trading strategies to beat “buy-and-hold”," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    10. Florian Manz & Birgit Müller & Dirk Schiereck, 2020. "The pricing of European non-performing real estate loan portfolios: evidence on stock market evaluation of complex asset sales," Journal of Business Economics, Springer, vol. 90(7), pages 1087-1120, August.

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