Eres : Digital Library : Works

Paper eres2005_225:
Momentum Strategies for Long-Memory Processes

id eres2005_225
authors Key, Tony and Gianluca Marcato
year 2005
title Momentum Strategies for Long-Memory Processes
source Book of Abstracts: 2005 European Real Estate Society conference in association with the International Real Estate Society
summary Several papers analyse the issue of serial correlation in real estate markets and the impact of this stylised fact on asset allocation choices. However, while momentum and contrarian strategies have been thoroughly tested for equities, their application to real estate markets has been mainly restricted to REITs and other investment vehicles (e.g.property companies). The finance literature suggests that serial correlation in asset returns represents only one of the possible explanations of underreaction and overreaction behaviours in equity markets, other main factors being cross-serial covariances and systematic overperformance. We test the impact of longmemory processes on momentum strategies. We choose to explore direct real estate investments because their monthly returns show a high pattern of autocorrelation. In line with previous empirical studies e.g. Lo-MacKinlay [RFS,1990], Lewellen [RFS, 2002], Pan et al [JEF, 2004] we find that the "smoothing factor" is not sufficient to explain the presence of significant overperformances. We also prove that momentum strategies still earn a higher performance when returns are unsmoothed.
series ERES:conference
type normal paper
discussion No discussions. Post discussion ...
ratings
session Session B3
last changed 2008/11/01 09:47
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