Stock market conditions and profitability of momentum long-short arbitrages in the U.S.A. REITS market : 1972-2008.

• Main Authors: Chew, Jinfeng., Tan, Paul Peck Teng., Yeo, Edison Chyan Hong.
• Other Authors: Kang Choong Seok, Joseph
• Format: Final Year Project
• Language: English
• Published: 2009
• Subjects: DRNTU::Business::Finance::Investments
• Online Access: http://hdl.handle.net/10356/15274
• Institution: Nanyang Technological University

Motivated by earlier studies on momentum profitability in REITs in the U.S.A for the period 1972-2000, this research investigates profitability of {3,3} and {6,6} momentum arbitrage portfolios in different stock market conditions for the extended time period from 1972-2008. Winner’s dividend/price r...