Can we beat the “buy-and-hold” strategy? Analysis on European and American securitized real estate indices

The aim of this paper is to use the Shiryaev-Zhou index to examine the performances of securitized real estate indices of four countries: US, UK, Canada and Germany. The result reveals that the Shiryaev-Zhou index is a leading indicator and can act as a predictor on certain securitized real estate i...

Full description

Saved in:
Bibliographic Details
Published inInternational journal of strategic property management Vol. 18; no. 1; pp. 28 - 37
Main Authors Hui, Eddie C. M, Yam, Sheung-Chi Phillip
Format Journal Article
LanguageEnglish
Published Vilnius Vilnius Gediminas Technical University 01.01.2014
Taylor & Francis
Subjects
"Buy-and-hold"
Economy
Granger-causality test
Investment policy
Real estate
Securitization
Securitized real estate index
Shiryaev-Zhou index
Trading strategy
Canada
United Kingdom > UK
United States > US
Germany
Securitized real estate index
Grangercausality test
Buyandhold
Trading strategy
ShiryaevZhou index
Online AccessGet full text

Cover

More Information
Summary:The aim of this paper is to use the Shiryaev-Zhou index to examine the performances of securitized real estate indices of four countries: US, UK, Canada and Germany. The result reveals that the Shiryaev-Zhou index is a leading indicator and can act as a predictor on certain securitized real estate indices. Furthermore, our results show that the trading strategy we constructed according to the Shiryaev-Zhou index generally outperforms the “buy-and-hold” strategy under the assumption of no transaction costs. The stronger the predictive power of the Shiryaev-Zhou index is, the larger extent our trading strategy beats the “buy-and-hold” strategy. This is useful in strategic property management that property practitioners can follow our strategy to trade real estate stocks/funds in order to increase their profits.
ISSN:1648-715X
1648-9179
DOI:10.3846/1648715X.2013.862190