Can Real Estate Investors Trade on Past Performance ?
||Can Real Estate Investors Trade on Past Performance ?
||14th Annual European Real Estate Society Conference in London, UK
||A number of studies of commercial real estate markets find evidence of persistence in returns, which suggests that a profitable trading rule could be developed that trades on past performance. This paper tests this proposition by analysing whether an investor can achieve higher returns than the market from buying the property fund that was the top performer in the previous year using annual returns over the period from 1990 to 2006. The results indicate that buying last year’s winner may be a rule-of-thumb that outperforms the market, even after transaction costs.
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||Session D1: Capital Flows and Investment Strategies
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