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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.57,Issue3,P.400-430

语言

英文

关键字

Earnings momentum; Price momentum; REITs; Asset pricing; European real estate; Idiosyncratic risk; MUTUAL FUND PERFORMANCE; ANNOUNCEMENT DRIFT; IDIOSYNCRATIC RISK; INVESTMENT TRUSTS; CROSS-SECTION; STOCK RETURNS; REIT RETURNS; MARKET; PROFITABILITY; ANOMA

作者单位

[Bron, Jochem J.] Marlborough Partners, London, England. [Ghosh, Chinmoy] Univ Connecticut, Sch Business, Storrs, CT 06268 USA. [Petrova, Milena T.] Syracuse Univ, Whitman Sch Business, Syracuse, NY 13244 USA. Petrova, MT (reprint author), Syracuse Univ, Whitman Sch Business, Syracuse, NY 13244 USA. E-Mail: jochembron@gmail.com; chinmoy.ghosh@business.uconn.edu; mpetrova@syr.edu

摘要

We test the performance and interaction between earnings and price momentum for European real estate companies by first making use of decile portfolios sorted on the previous 3- to 12-month returns, standardized unexpected earnings and a combination of both. Then, the relation is tested on a risk-adjusted basis employing a 3-factor asset pricing model and Fama and Macbeth (1973) cross-sectional regression analyses. Our analyses reveal several critical findings: (1) both price and earnings momentum are effective for European firms, the effect being stronger for the UK than EU firms; (2) unlike U.S. REITs, price momentum seems to dominate drift for European firms; (3) there is weak evidence for positive interaction between drift and price momentum, contrary to the U.S. evidence; (4) the performance of momentum strategies depends on the state of the economy, while controlling for systematic factors; (5) idiosyncratic risk of real estate property firms may influence the returns on drift and momentum factors.