Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/28875
Title: Shiryaev-Zhou index - a noble approach to benchmarking and analysis of real estate stocks
Authors: Hui, ECM 
Yam, SCP
Chen, SW
Keywords: Buy-and-hold
Optimal selling times
Real estate markets
Sell-at-once
Shiry-aev-Zhou index
Issue Date: 2012
Publisher: Taylor & Francis co-Published with Vilnius Gediminas Technical University
Source: International journal of strategic property management, 2012, v. 16, no. 2, p. 158-172 How to cite?
Journal: International journal of strategic property management 
Abstract: Real estate markets and real estate stocks are interrelated and are important not only to the investors, but also to the academics. Real estate stocks are, in a sense, good measures of performance of the physical real estate market. The objective of this paper is to provide a preliminary study on gauging the performances of real estate stocks in Hong Kong using the Shiryaev-Zhou index. Evidence shows that the Shiryaev-Zhou index can gauge a real estate stock's performance, good or bad, according to the sign of the Shiryaev-Zhou index. Thus a trading strategy can be formulated as follows: buy a stock if its Shiryaev-Zhou index changes from negative to positive, then hold it until its Shiryaev-Zhou index turns negative, when it is time to sell the stock. We examine the Shiryaev-Zhou indices of the real estate stocks in Hong Kong, and from this we deduce the latest best selling dates of the stocks during the period of our study. The Shiryaev-Zhou index could be an indicator of whether the market is bullish or bearish and consequently tells an investor to hold a stock or not, and it naturally leads to an optimal selling strategy that maximize the average ratio of the selling price to the maximum stock price when the underlying coefficients are assumed to be constant over a definite period of time.
URI: http://hdl.handle.net/10397/28875
ISSN: 1648-715X
EISSN: 1648-9179
DOI: 10.3846/1648715X.2011.638946
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

SCOPUSTM   
Citations

5
Last Week
0
Last month
0
Citations as of Feb 10, 2018

WEB OF SCIENCETM
Citations

5
Last Week
0
Last month
0
Citations as of Feb 22, 2018

Page view(s)

93
Last Week
2
Last month
Citations as of Feb 19, 2018

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.