Real Estate Securities and a Filter-Based, Short-Term Trading Strategy

Posted: 25 Oct 1999

See all articles by Michael J. Cooper

Michael J. Cooper

University of Utah - David Eccles School of Business

David H. Downs

Virginia Commonwealth University (VCU) - Department of Finance, Insurance & Real Estate; The Kornblau Institute

Gary A. Patterson

University of South Florida

Abstract

Anecdotal evidence provides overwhelming support to the belief that sophisticated real estate investors profit by timing long-run real estate cycles. This article examines the investment performance benefits that sophisticated investors may derive from short-run cycles in real estate, specifically, through the publicly traded real estate markets. Using a simple strategy that filters out noise in real estate investment trust (REIT) price reversals, this study shows that a contrarian strategy is many times more profitable than the associated execution costs. Furthermore, the study demonstrates that the REIT market has been sufficiently liquid to execute this trading strategy. This last point is directly related to the filter strategy since only REITs with large price movements satisfy the hypothetical investor's selection criteria.

JEL Classification: G12

Suggested Citation

Cooper, Michael J. and Downs, David H. and Patterson, Gary A., Real Estate Securities and a Filter-Based, Short-Term Trading Strategy. Available at SSRN: https://ssrn.com/abstract=186354

Michael J. Cooper (Contact Author)

University of Utah - David Eccles School of Business ( email )

1645 E Campus Center Dr
Salt Lake City, UT 84112-9303
United States

David H. Downs

Virginia Commonwealth University (VCU) - Department of Finance, Insurance & Real Estate ( email )

Richmond, VA 23284-4000
United States

The Kornblau Institute ( email )

Richmond, VA 23284-4000
United States

Gary A. Patterson

University of South Florida ( email )

Tampa, FL 33620
United States

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