Abstract
The aim of this paper is to use the Shiryaev-Zhou index to examine the performances of securitized real estate indices of four countries: US, UK, Canada and Germany. The result reveals that the Shiryaev-Zhou index is a leading indicator and can act as a predictor on certain securitized real estate indices. Furthermore, our results show that the trading strategy we constructed according to the Shiryaev-Zhou index generally outperforms the “buy-and-hold” strategy under the assumption of no transaction costs. The stronger the predictive power of the Shiryaev-Zhou index is, the larger extent our trading strategy beats the “buy-and-hold” strategy. This is useful in strategic property management that property practitioners can follow our strategy to trade real estate stocks/funds in order to increase their profits.
Highlights
To maximize profit is the common objective for many investors
Our objective is to examine the Shiryaev-Zhou indices of securitized real estate indices of four countries in Europe and North America: US, UK, Canada and Germany, and to verify whether the trading strategy we construct using the ShiryaevZhou index can beat the “buy-and-hold” strategy
If we get a closer look at the Shiryaev-Zhou indices of securitized real estate indices of US, UK and Canada, we find that their trend had some similarities: the indices peaked in 1993, 1996–1997 and 2003–2004, and reached troughs in 1990, 1994 and 1998–1999
Summary
To maximize profit is the common objective for many investors. A commonly known trading strategy is the “buy-and-hold” strategy, i.e. one should buy a stock and hold it for a long time. The Shiryaev-Zhou index was the first to put in practice by Hui et al (2012) through a numerical application in the Hong Kong property market They just listed the latest selling date of each real estate stock, but did not calculate the resulting profit. We use the Shiryaev-Zhou index to construct a trading strategy, and apply this trading strategy to real estate markets of different countries, and see whether this strategy can outperform the traditional “buyand-hold” strategy This would be useful for investors to formulate a better trading strategy to increase their profits. Our objective is to examine the Shiryaev-Zhou indices of securitized real estate indices of four countries in Europe and North America: US, UK, Canada and Germany, and to verify whether the trading strategy we construct using the ShiryaevZhou index can beat the “buy-and-hold” strategy.
Sign-in/Register to view highlights & summary Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Strategic Property Management
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
