Real Estate Momentum Strategy
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School of Business |
Bachelor's thesis
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Authors
Date
2021
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
17
Series
Abstract
Past literature shows consistent positive returns for momentum trading strategies across markets and time periods. Earlier studies focus on various industries, but they often exclude Real Estate Investment Trusts (REITs). In this Bachelor Thesis, I measure the performance of momentum strategy in the real estate industry in recent years. During the sample period, it was shown, that the real estate momentum portfolios did not produce positive abnormal returns. My results were robust to varying portfolio construction time horizons and risk adjustment models.Description
Thesis advisor
Kokkonen, JoniKeywords
momentum, real estate, regression, returns