Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/15274
Title: Stock market conditions and profitability of momentum long-short arbitrages in the U.S.A. REITS market : 1972-2008.
Authors: Chew, Jinfeng.
Tan, Paul Peck Teng.
Yeo, Edison Chyan Hong.
Keywords: DRNTU::Business::Finance::Investments
Issue Date: 2009
Abstract: Motivated by earlier studies on momentum profitability in REITs in the U.S.A for the period 1972-2000, this research investigates profitability of {3,3} and {6,6} momentum arbitrage portfolios in different stock market conditions for the extended time period from 1972-2008. Winner’s dividend/price ratios were found to be significantly lower than losers’ dividend/price ratio and dividend/price ratios of REITs are significantly higher after the legislation change in 1992. Our main findings are as follows: (1) Momentum returns of past winners are not significantly higher than past losers, in fact past losers had significantly higher momentum returns than losers; (2) Momentum returns are significantly higher during down markets; (3) There is a positive relationship between momentum returns in REITs and the difference between winners’ and losers’ dividend/price ratios and lastly (4) Momentum returns are not significantly higher after the legislation change in 1992.
URI: http://hdl.handle.net/10356/15274
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

Files in This Item:
File Description SizeFormat 
ChewJinFeng09.pdf
  Restricted Access
274.66 kBAdobe PDFView/Open

Page view(s)

210
Updated on Nov 26, 2020

Download(s) 50

3
Updated on Nov 26, 2020

Google ScholarTM

Check

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.