Is there a "real" trend in the real estate market? : evidence from the country-level real estate indices

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Is there a "real" trend in the real estate market? : evidence from the country-level real estate indices

 

Author: Lai, Man Yuk Raymond
Title: Is there a "real" trend in the real estate market? : evidence from the country-level real estate indices
Degree: D.B.A.
Year: 2014
Subject: Real estate investment.
Real estate business.
Real property -- Valuation
Hong Kong Polytechnic University -- Dissertations
Department: Faculty of Business
Pages: xi, 105 leaves : color illustrations ; 30 cm
Language: English
InnoPac Record: http://library.polyu.edu.hk/record=b2825675
URI: http://theses.lib.polyu.edu.hk/handle/200/7990
Abstract: This study examines whether there is return momentum in the real estate market across country-level indices. While the phenomenon of momentum has been extensively studied in the stock market there is relatively little work that examines the momentum effect in the real estate market. The real estate market is an important asset class and it is often characterized as inefficient, constrained, slow to adjust and having a high barrier against information flow. Thus, it is likely that returns in the real estate market would also exhibit momentum. Our results confirm this prediction. We document that the momentum return in the global real estate market is economically and statistically significant. Our momentum portfolio, constructed from 16 global real estate indices, earns up to 0.98% per month during the sample period. The mid-range strategies that use 12-month combined formation and holding periods show the best performance and the momentum returns are still significant after they are adjusted for risks and currencies. The results are robust to different sub-periods and are stronger in emerging countries. Our findings extend the literature on return momentum, and have implications not only for understanding the degree of efficiency of real estate market but also for practitioners.

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