Momentum Effects And Mean Reversion In Real Estate Securities

Topics:
Real Estate Portfolio Management
Tags:
Business Operations,
California State University,
Evidence,
Human Resources,
Performance,
Performance Management,
Real Estate,
Reversal,
Workforce Management
Source:
California State University, Fullerton

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Overview: This article tests for the presence of both price continuation and price reversals in international real estate securities. The results reveal evidence of performance persistence in international markets over short and medium term horizons, however the evidence on price reversals is less compelling. The empirical analysis tests for mean reversion using Variance Ratio and Augmented Dickey-Fuller tests. In neither case is there consistent evidence of mean reversion in international real estate securities. The portfolio switching tests do reveal some evidence of performance reversals. However, while under-performing markets do outperform over longer horizons, they do not do so at statistically significant levels.

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Format: PDF | Size: 93KB | Date: Jan 2003 | Pages: 18

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