Abstract
The aim of this paper is to use the Shiryaev-Zhou index to examine the performances of securitized real estate indices of four countries: US, UK, Canada and Germany. The result reveals that the Shiryaev-Zhou index is a leading indicator and can act as a predictor on certain securitized real estate indices. Furthermore, our results show that the trading strategy we constructed according to the Shiryaev-Zhou index generally outperforms the "buy-and-hold" strategy under the assumption of no transaction costs. The stronger the predictive power of the Shiryaev-Zhou index is, the larger extent our trading strategy beats the "buy-and-hold" strategy. This is useful in strategic property management that property practitioners can follow our strategy to trade real estate stocks/funds in order to increase their profits. © 2014 Copyright © 2014 Vilnius Gediminas Technical University (VGTU) Press Technika.
| Original language | English |
|---|---|
| Pages (from-to) | 28-37 |
| Journal | International Journal of Strategic Property Management |
| Volume | 18 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - Jan 2014 |
| Externally published | Yes |
Bibliographical note
Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].Research Keywords
- "Buy-and-hold"
- Granger-causality test
- Securitized real estate index
- Shiryaev-Zhou index
- Trading strategy
Publisher's Copyright Statement
- This full text is made available under CC-BY 4.0. https://creativecommons.org/licenses/by/4.0/
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