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dc.contributor.authorMei, Jianping
dc.contributor.authorLiu, Crocker H.
dc.date.accessioned2020-09-12T21:14:00Z
dc.date.available2020-09-12T21:14:00Z
dc.date.issued1994-01-01
dc.identifier.other5449948
dc.identifier.urihttps://hdl.handle.net/1813/72446
dc.description.abstractRecent evidence suggests that all asset returns are predictable to some extent with excess returns on real estate relatively easier to forecast. This raises the issue of whether we can successfully exploit this level of predictability using various market timing strategies to realize superior performance over a buy-and-hold strategy. We find that the level of predictability associated with real estate leads to moderate success in market timing, although this is not necessarily the case for the other asset classes examined in general. Besides this, real estate stocks typically have higher trading profits and higher mean risk-adjusted excess returns when compared to small stocks as well as large stocks and bonds even though most real estate stocks are small stocks.
dc.language.isoen_US
dc.rightsRequired Publisher Statement: © Springer. Final version published as: Mei, J., & Liu, C. H. (1994). The predictability of real estate returns and market timing. Journal of Real Estate Finance and Economics, 8(2), 115-135. Reprinted with permission. All rights reserved.
dc.subjectmarket timing
dc.subjectpredictability
dc.subjecttrading profits
dc.subjectreal estate securities
dc.titleThe Predictability of Real Estate Returns and Market Timing
dc.typearticle
dc.relation.doihttps://doi.org/10.1007/BF01097033
dc.description.legacydownloadsLiu29_The_predictability_of_real_estate_returns.pdf: 1121 downloads, before Aug. 1, 2020.
local.authorAffiliationMei, Jianping: New York University
local.authorAffiliationLiu, Crocker H.: chl62@cornell.edu Cornell University


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