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dc.contributor.authorMei, Jianping
dc.contributor.authorLiu, Crocker H.
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.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.subjecttrading profits
dc.subjectreal estate securities
dc.titleThe Predictability of Real Estate Returns and Market Timing
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local.authorAffiliationMei, Jianping: New York University
local.authorAffiliationLiu, Crocker H.: Cornell University

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