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Direct investment in real estate

By G. Marcato and T. Key

Abstract

Momentum strategies have the potential to generate extra profits in private real estate markets. Tests of a variety of frequencies of portfolio reweighting identify periods of winner and loser performance. There are strong potential gains from momentum strategies that are based on prior returns over a 6- to 12-month period. Whether these gains are attainable for real-world investors depends on transaction costs, but some momentum strategies do produce net excess returns. The findings hold even if returns are unsmoothed to reflect underlying market prices

Publisher: Euromoney Institutional Investor Plc
Year: 2005
OAI identifier: oai:centaur.reading.ac.uk:15673
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