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Can we beat the “buy-and-hold” strategy? Analysis on European and American securitized real estate indices

    Eddie C. M. Hui Affiliation
    ; Sheung-Chi Phillip Yam Affiliation

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.

Keyword : Securitized real estate index, Shiryaev-Zhou index, “Buy-and-hold”, Trading strategy, Granger-causality test

How to Cite
Hui, E. C. M., & Yam, S.-C. P. (2014). Can we beat the “buy-and-hold” strategy? Analysis on European and American securitized real estate indices. International Journal of Strategic Property Management, 18(1), 28-37. https://doi.org/10.3846/1648715X.2013.862190
Published in Issue
Mar 21, 2014
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