Real estate securities and a filter-based, short-term trading strategy

From: The Journal of Real Estate Research | Date: September 1, 1999| Author: | Copyright information

Michael Cooper*

David H. Downs**

Gary A. Patterson***

Abstract. Anecdotal evidence provides overwhelming support to the belief that sophisticated real estate investors profit by timing long-run real estate cycles. This article examines the investment performance benefits that sophisticated investors may derive from short-run cycles in real estate, specifically, through the publicly traded real estate markets. Using a simple strategy that filters out noise in real estate investment trust (REIT) price reversals, this study shows that a contrarian strategy is many times more profitable than ...

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