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| Real Estate Securities and a
Filter-based, Short-term Trading Strategy Author: Michael Cooper, David H. Downs, and Gary A. Patterson Start Page: 313 Abstract: Anecdotal evidence
provides overwhelming support to the belief that sophisticated real estate investors
profit by timing long-run real estate cycles. This article examines the investment
performance benefits that sophisticated investors may derive from short-run cycles in real
estate, specifically, through the publicly traded real estate markets. Using a simple
strategy that filters out noise in real estate investment trust (REIT) price reversals,
this study shows that a contrarian strategy is many times more profitable than the
associated execution costs. Furthermore, the study demonstrates that the REIT market has
been sufficiently liquid to execute this trading strategy. This last point is directly
related to the filter strategy since only REITs with large price movements satisfy the
hypothetical investor’s selection criteria. |
