Performance of Pairs Trading Strategy in the U.S. REIT Market

被引：17
|
作者：
Mori, Masaki [1 ]
Ziobrowski, Alan J. [2 ]
机构：
[1] Int Univ Japan, Niigata 9497277, Japan
[2] Georgia State Univ, Dept Real Estate, Atlanta, GA 30302 USA
来源：
REAL ESTATE ECONOMICS | 2011年 / 39卷 / 03期
关键词：
EFFICIENCY; ARBITRAGE;
D O I：
10.1111/j.1540-6229.2010.00302.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine the performance of pairs trading in the U.S. REIT market compared with that in the U.S. general stock market over the period 1987 to 2008. The results suggest that the REIT market provided superior profit opportunities for this strategy over common stocks after accounting for the effect of the bidask bounce between 1993 and 2000. This was likely because of the unique characteristics of REITs, which permitted the selection of good pairs of close substitutes and the structural changes that occurred in 1993 in the REIT market. The superior trading profits in REITs disappear after 2000.
引用
收藏
页码：409 / 428
页数：20
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