Momentum Strategies with Home Price Indices and Stocks

Yuming Li () and Jing Yang ()
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Yuming Li: California State University at Fullerton
Jing Yang: California State University at Fullerton

International Real Estate Review, 2020, vol. 23, issue 2, 235-266

Abstract: We investigate the profitability of momentum strategies in the market for single-family homes by using 10 city-level Case-Shiller home price indices (HPIs). Compared with the momentum strategies based on the Fama-French 10-industry portfolios of stocks, the profits from the single-family HPIs are more statistically significant, less sensitive to the construction methods of the momentum strategies and more correlated across different strategies. The momentum profits from the HPIs tend to be counter-cyclical, unlike the pro-cyclical behaviors of the momentum profits from stock portfolios. The differences in the momentum profits with HPIs and stocks indicate that a momentum strategy with the former can help diversify the risk in the asset portfolio of investors.

Keywords: Real Estate Portfolio; Momentum Strategy; Risk Diversification (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
Date: 2020
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