反向和动量策略在美国房地产投资信托基金市场的有效性

IF 1.1 Q4 MANAGEMENT
Management Pub Date : 2023-04-20 DOI:10.58691/man/162862
Krzysztof Kowalke
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引用次数: 0

摘要

在金融市场上进行投资决策时,投资者使用各种投资策略。传统的策略有逆势策略和瞬间策略。近年来,美国房地产投资信托基金市场是全球金融市场中最具活力的细分市场之一。关于这一主题的文献缺乏对该市场投资策略有效性的研究。因此,本文的目的是比较反向策略和动量策略在不同排名时期对美国REIT市场的有效性。根据在美国公开资本市场上市的单个REITs的收益率数据,对应用逆势和动量策略所产生的收益率进行了估计。所进行的分析结果表明,在三年的排名期间,由输家REITs组成的投资组合的回报率明显超过赢家REITs的投资组合的回报率。这意味着在此期间,使用反向策略比使用动量策略更有效。对于其他分析的排名时期,回报率的差异在统计上没有显著性。分析结果可帮助投资者在房地产投资信托基金市场上选择最有效的投资策略。这项研究也回答了房地产投资信托基金市场是否应该使用根据研究表明在广泛的股票市场上有效的投资策略,还是在投资基金市场上有效的投资策略。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The effectiveness of the contrarian and momentum strategies on the US REIT market
When making investment decisions in financial markets, investors use various investment strategies. The traditional ones include the contrarian strategy and the moment strategy. In recent years, one of the dynamically developing segments of the global financial market has been the American REIT market. The literature on the subject lacks research on the effectiveness of investment strategies in this market. The aim of the article is therefore to compare the effectiveness of the contrarian strategy and momentum strategy on the US REIT market in different ranking periods. Based on the data on the rates of return of individual REITs listed on public capital markets in the US, the rates of return resulting from the application of the contrarian and momentum strategies were estimated. The results of the conducted analyses showed that for the three-year ranking period, the rates of return of the portfolio composed of loser REITs significantly exceeded the rates of return of the portfolio of winner REITs. This means that during this period the use of the contrarian strategy was more effective than the use of the momentum strategy. For other analysed ranking periods, the differences in rates of return were not statistically significant. The results of the conducted analyses may help investors in choosing the most effective investment strategy on the REIT market. This research also answers the question whether the REIT market should use investment strategies that, according to research, are effective on the broad stock market, or strategies that work well on the investment fund market.
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来源期刊
Management
Management MANAGEMENT-
CiteScore
1.50
自引率
8.00%
发文量
21
审稿时长
70 weeks
期刊介绍: The Journal deals with pressing problems, not only of general nature, but especially with those occurring in the countries in transition. In fact, it aims to cover functional issues, specific topics and general aspects of management related to all kinds of organizations – manufacturing and service companies, profit-making firms and non-profit organizations, private and public, as well as large and small enterprises.
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