Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/25728
Title: Can we beat the "buy-and-hold" strategy? Analysis on European and American securitized real estate indices
Authors: Hui, ECM 
Yam, SCP
Keywords: Buy-and-hold
Granger-causality test
Securitized real estate index
Shiryaev-Zhou index
Trading strategy
Issue Date: 2014
Publisher: Taylor & Francis co-Published with Vilnius Gediminas Technical University
Source: International journal of strategic property management, 2014, v. 18, no. 1, p. 28-37 How to cite?
Journal: International journal of strategic property management 
Abstract: The aim of this paper is to use the Shiryaev-Zhou index to examine the performances of securitized real estate indices of four countries: US, UK, Canada and Germany. The result reveals that the Shiryaev-Zhou index is a leading indicator and can act as a predictor on certain securitized real estate indices. Furthermore, our results show that the trading strategy we constructed according to the Shiryaev-Zhou index generally outperforms the "buy-and-hold" strategy under the assumption of no transaction costs. The stronger the predictive power of the Shiryaev-Zhou index is, the larger extent our trading strategy beats the "buy-and-hold" strategy. This is useful in strategic property management that property practitioners can follow our strategy to trade real estate stocks/funds in order to increase their profits.
URI: http://hdl.handle.net/10397/25728
ISSN: 1648-715X
EISSN: 1648-9179
DOI: 10.3846/1648715X.2013.862190
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