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

Chi Man Hui, Sheung Chi Phillip Yam

Research output: Journal article publicationJournal articleAcademic researchpeer-review

10 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)28-37
Number of pages10
JournalInternational Journal of Strategic Property Management
Volume18
Issue number1
DOIs
Publication statusPublished - 1 Jan 2014

Keywords

  • "Buy-and-hold"
  • Granger-causality test
  • Securitized real estate index
  • Shiryaev-Zhou index
  • Trading strategy

ASJC Scopus subject areas

  • Strategy and Management

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