Open AccessInternational Real Estate Review
Author(s) -
Yuming Li,
Jing Yang
Publication year - 2020
Publication title -
journal of the asian real estate society
Language(s) - English
Resource type - Journals
ISSN - 1029-6131
DOI - 10.53383/100301
Subject(s) - momentum (technical analysis) , real estate , portfolio , profitability index , capital asset pricing model , economics , financial economics , stock (firearms) , real estate investment trust , econometrics , finance , geography , archaeology
We investigate the profitability of momentum strategies in the market for single-family homes by using 10 city-level Case-Shiller home price indices (HPIs). Compared with the momentum strategies based on the Fama-French 10-industry portfolios of stocks, the profits from the single-family HPIs are more statistically significant, less sensitive to the construction methods of the momentum strategies and more correlated across different strategies. The momentum profits from the HPIs tend to be counter-cyclical, unlike the pro-cyclical behaviors of the momentum profits from stock portfolios. The differences in the momentum profits with HPIs and stocks indicate that a momentum strategy with the former can help diversify the risk in the asset portfolio of investors.