Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/15351
Title: Equity market conditions and profitability of momentum long-short arbitrages in the U.S.A. REITs Market : 1972-2008.
Authors: Lee, Milene Yen Yen.
Ong, Jinjing.
Teo, Joanne Hui Li.
Keywords: DRNTU::Business::Finance::Equity
Issue Date: 2009
Abstract: Motivated by an earlier study on {6,6} momentum profitability of U.S.A. REITs for the 1972 – 2000 sample period, this report has reexamined the momentum profits for the extended sample period from 1972 to 2008 and for both {3,3} and {6,6} strategies. Our main finding indicates that the earlier existence of significant momentum profits for {6,6} strategy also held for the extended period and for {3,3} strategy. Three other main findings were: (1) the momentum returns that were higher in up markets for the 1972 – 2000 period became significantly lower for the 2001 – 2008 period; (2) the momentum returns decreased after the 1992 regulatory changes in the REITs industry and decreased significantly further after the 2000 property market boom in the U.S.A.; and (3) the momentum returns that were explained by the REITs’ dividend growth rates (proxied by the REITs’ dividend/price ratios in the earlier study) were not similarly explained for the 2001 – 2008 period.
URI: http://hdl.handle.net/10356/15351
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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