Equity market conditions and profitability of momentum long-short arbitrages in the U.S.A. REITs Market : 1972-2008.

• Main Authors: Lee, Milene Yen Yen., Ong, Jinjing., Teo, Joanne Hui Li.
• Other Authors: Kang Choong Seok, Joseph
• Format: Final Year Project
• Language: English
• Published: 2009
• Subjects: DRNTU::Business::Finance::Equity
• Online Access: http://hdl.handle.net/10356/15351
• Institution: Nanyang Technological University

Motivated by an earlier study on {6,6} momentum profitability of U.S.A. REITs for the 1972 – 2000 sample period, this report has reexamined the momentum profits for the extended sample period from 1972 to 2008 and for both {3,3} and {6,6} strategies. Our main finding indicates that the earlier exis...