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...
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Published in | International journal of strategic property management Vol. 18; no. 1; pp. 28 - 37 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Vilnius
Vilnius Gediminas Technical University
01.01.2014
Taylor & Francis |
Subjects | |
Online Access | Get full text |
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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. |
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ISSN: | 1648-715X 1648-9179 |
DOI: | 10.3846/1648715X.2013.862190 |