Momentum Profits in Australian Listed Property Trusts

This paper examines the profitability of momentum trading strategies in Australian listed property trusts (LPTs). Monthly value-weighted momentum portfolios are formed using the monthly excess returns of LPTs for the period from 1990 to 2005. Overall the findings confirm that a momentum trading stra...

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Bibliographic Details
Published inPacific rim property research journal Vol. 13; no. 3; pp. 322 - 343
Main Authors Lin Lee, Chyi, Reed, Richard, Robinson, Jon
Format Journal Article
LanguageEnglish
Published Routledge 01.01.2007
Subjects
1990-2005
Australian LPTs
Downside risk
Investment
Momentum returns
Normality
Profits
Real estate
Risk-adjusted returns
Shares
Statistics
Trusts
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Summary:This paper examines the profitability of momentum trading strategies in Australian listed property trusts (LPTs). Monthly value-weighted momentum portfolios are formed using the monthly excess returns of LPTs for the period from 1990 to 2005. Overall the findings confirm that a momentum trading strategy in Australian LPTs is a profitable strategy. More specifically, momentum strategies are profitable after adjusting for variance and downside risk where the momentum returns substantially outperform the benchmark. An analysis using different study periods confirm the findings about momentum. The practical implication from this study is that investors can generate substantial abnormal returns by adopting a momentum trading strategy, particularly with a long strategy (i.e. winner portfolios).
Bibliography:Pacific Rim Property Research Journal, v.13, no.3, Sept 2007: 322-341
ISSN:1444-5921
2201-6716
DOI:10.1080/14445921.2007.11104236