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

页码：409 / 428

页数：20

共 50 条

[31] Estimating the Cost of Equity Capital: Forecasting Accuracy for U.S. REIT Sector
Busato, Francesco
Coletta, Cuono Massimo
Manganiello, Maria
[J]. INTERNATIONAL REAL ESTATE REVIEW, 2019, 22 (03): : 401 - 432
[32] Algorithmic setups for trading popular U.S. ETFs
Cohen, Gil
[J]. COGENT ECONOMICS & FINANCE, 2020, 8 (01):
[33] U.S. Strategy toward Russia
Yuan Peng
[J]. Contemporary International Relations, 2006, (01) : 1 - 18
[34] Anomalies in U.S. REIT Returns: Evidence for and against the Q-theory
Prombutr, Wikrom
Phengpis, Chanwit
Zhang, Ying
[J]. INTERNATIONAL REAL ESTATE REVIEW, 2023, 26 (01): : 43 - 71
[35] The geopolitical foundations for U.S. strategy in a new U.S.–China bipolar system
Bekkevold J.I.
Tunsjø Ø.
[J]. China International Strategy Review, 2022, 4 (1) : 39 - 54
[36] The Adoption of Generative Customization as an Innovation Strategy in the U.S. Smartphone Market: A Case Study
Buffington, Jack
McCubbrey, Donald
[J]. COMMUNICATIONS OF THE ASSOCIATION FOR INFORMATION SYSTEMS, 2012, 30
[37] Profitability of Pairs Trading Tactics in China's Stock Market
Huang Tianyong
Deng Ming
Wu Liang
[J]. PROCEEDINGS OF THE 2013 SUZHOU-SILICON VALLEY-BEIJING INTERNATIONAL INNOVATION CONFERENCE (SIIC): TECHNOLOGY INNOVATION AND DIASPORAS IN A GLOBAL ERA, 2013, : 111 - 115
[38] Is moderate market performance in the U.S. a sufficient condition for abnormal returns on CEFs?
Alexakis C.
Mavrakis E.
[J]. International Advances in Economic Research, 2010, 16 (1) : 80 - 95
[39] Dynamic effects of financial stress on the U.S. real estate market performance
Sum, Vichet
[J]. JOURNAL OF ECONOMICS AND BUSINESS, 2014, 75 : 80 - 92
[40] Cyber insurance offering and performance: an analysis of the U.S. cyber insurance market
Xiaoying Xie
Charles Lee
Martin Eling
[J]. The Geneva Papers on Risk and Insurance - Issues and Practice, 2020, 45 : 690 - 736

← 1 2 3 4 5 →