Can we beat the “buy-and-hold” strategy? Analysis on European and American securitized real estate indices
Can we beat the “buy-and-hold” strategy? Analysis on European and American securitized real estate indices
Author(s): Eddie C. M. Hui, Sheung-Chi Phillip YamSubject(s): Economy
Published by: Vilnius Gediminas Technical University
Keywords: Securitized real estate index; Shiryaev-Zhou index; “Buy-and-hold”; Trading strategy; Granger-causality test;
Summary/Abstract: 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.
Journal: International Journal of Strategic Property Management
- Issue Year: 18/2014
- Issue No: 1
- Page Range: 28-37
- Page Count: 10
- Language: English