On the Earnings and Price Momentum Strategies: Evidence from European Real Estate Firms
Jochem J. Bron (),
Chinmoy Ghosh () and
Milena Petrova ()
Additional contact information
Jochem J. Bron: Marlborough Partners
Chinmoy Ghosh: University of Connecticut
Milena Petrova: Syracuse University
The Journal of Real Estate Finance and Economics, 2018, vol. 57, issue 3, 400-430
Abstract We test the performance and interaction between earnings and price momentum for European real estate companies by first making use of decile portfolios sorted on the previous 3- to 12-month returns, standardized unexpected earnings and a combination of both. Then, the relation is tested on a risk-adjusted basis employing a 3-factor asset pricing model and Fama and Macbeth (1973) cross-sectional regression analyses. Our analyses reveal several critical findings: (1) both price and earnings momentum are effective for European firms, the effect being stronger for the UK than EU firms; (2) unlike U.S. REITs, price momentum seems to dominate drift for European firms; (3) there is weak evidence for positive interaction between drift and price momentum, contrary to the U.S. evidence; (4) the performance of momentum strategies depends on the state of the economy, while controlling for systematic factors; (5) idiosyncratic risk of real estate property firms may influence the returns on drift and momentum factors.
Keywords: Earnings momentum; Price momentum; REITs; Asset pricing; European real estate; Idiosyncratic risk (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s11146-017-9633-0 Abstract (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kap:jrefec:v:57:y:2018:i:3:d:10.1007_s11146-017-9633-0
Ordering information: This journal article can be ordered from
http://www.springer. ... ce/journal/11146/PS2
Access Statistics for this article
The Journal of Real Estate Finance and Economics is currently edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans
More articles in The Journal of Real Estate Finance and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla ().