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Momentum Profitability and Market Trend: Evidence from REITs

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  • Szu-Yin Hung
  • John Glascock

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  • Szu-Yin Hung & John Glascock, 2008. "Momentum Profitability and Market Trend: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 51-69, July.
    • Handle: RePEc:kap:jrefec:v:37:y:2008:i:1:p:51-69
    DOI: 10.1007/s11146-007-9056-4
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    References listed on IDEAS

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    1. Chui, Andy C. W. & Titman, Sheridan & Wei, K. C. John, 2003. "Intra-industry momentum: the case of REITs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 363-387, May.
    2. Jagannathan, Ravi & Wang, Zhenyu, 1996. "The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
    3. John L. Glascock & David Michayluk & Karyn Neuhauser, 2004. "The Riskiness of REITs Surrounding the October 1997 Stock Market Decline," The Journal of Real Estate Finance and Economics, Springer, vol. 28(4), pages 339-354, May.
    4. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
    5. Narasimhan Jegadeesh, 2002. "Cross-Sectional and Time-Series Determinants of Momentum Returns," The Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 143-157, March.
    6. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
    7. Timothy C. Johnson, 2002. "Rational Momentum Effects," Journal of Finance, American Finance Association, vol. 57(2), pages 585-608, April.
    8. Mitchell C. Conover & H. Swint Friday & Shelly W. Howton, 2000. "An Analysis of the Cross Section of Returns for EREITs Using a Varying-Risk Beta Model," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 28(1), pages 141-163.
    9. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-1099, September.
    10. repec:bla:jfinan:v:59:y:2004:i:3:p:1345-1365 is not listed on IDEAS
    11. K. C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 431-452, December.
    12. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    13. John S. Howe & James D. Shilling, 1990. "REIT Advisor Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 479-500, December.
    14. Glascock, John L & Lu, Chiuling & So, Raymond W, 2002. "REIT Returns and Inflation: Perverse or Reverse Causality Effects?," The Journal of Real Estate Finance and Economics, Springer, vol. 24(3), pages 301-317, May.
    15. Cochrane, John H, 1996. "A Cross-Sectional Test of an Investment-Based Asset Pricing Model," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 572-621, June.
    16. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," The Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July.
    17. Cumby, Robert E & Glen, Jack D, 1990. "Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, vol. 45(2), pages 497-521, June.
    18. Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    19. Narasimhan Jegadeesh & Sheridan Titman, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
    20. Glascock, John L, 1991. "Market Conditions, Risk, and Real Estate Portfolio Returns: Some Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 4(4), pages 367-373, December.
    21. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
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