{"title":"反向和动量策略在美国房地产投资信托基金市场的有效性","authors":"Krzysztof Kowalke","doi":"10.58691/man/162862","DOIUrl":null,"url":null,"abstract":"When making investment decisions in financial markets, investors use various investment strategies. The traditional ones include the contrarian strategy and the moment strategy. In recent years, one of the dynamically developing segments of the global financial market has been the American REIT market. The literature on the subject lacks research on the effectiveness of investment strategies in this market. The aim of the article is therefore to compare the effectiveness of the contrarian strategy and momentum strategy on the US REIT market in different ranking periods. Based on the data on the rates of return of individual REITs listed on public capital markets in the US, the rates of return resulting from the application of the contrarian and momentum strategies were estimated. The results of the conducted analyses showed that for the three-year ranking period, the rates of return of the portfolio composed of loser REITs significantly exceeded the rates of return of the portfolio of winner REITs. This means that during this period the use of the contrarian strategy was more effective than the use of the momentum strategy. For other analysed ranking periods, the differences in rates of return were not statistically significant. The results of the conducted analyses may help investors in choosing the most effective investment strategy on the REIT market. This research also answers the question whether the REIT market should use investment strategies that, according to research, are effective on the broad stock market, or strategies that work well on the investment fund market.","PeriodicalId":47182,"journal":{"name":"Management","volume":null,"pages":null},"PeriodicalIF":1.1000,"publicationDate":"2023-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The effectiveness of the contrarian and momentum strategies on the US REIT market\",\"authors\":\"Krzysztof Kowalke\",\"doi\":\"10.58691/man/162862\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"When making investment decisions in financial markets, investors use various investment strategies. The traditional ones include the contrarian strategy and the moment strategy. In recent years, one of the dynamically developing segments of the global financial market has been the American REIT market. The literature on the subject lacks research on the effectiveness of investment strategies in this market. The aim of the article is therefore to compare the effectiveness of the contrarian strategy and momentum strategy on the US REIT market in different ranking periods. Based on the data on the rates of return of individual REITs listed on public capital markets in the US, the rates of return resulting from the application of the contrarian and momentum strategies were estimated. The results of the conducted analyses showed that for the three-year ranking period, the rates of return of the portfolio composed of loser REITs significantly exceeded the rates of return of the portfolio of winner REITs. This means that during this period the use of the contrarian strategy was more effective than the use of the momentum strategy. For other analysed ranking periods, the differences in rates of return were not statistically significant. The results of the conducted analyses may help investors in choosing the most effective investment strategy on the REIT market. This research also answers the question whether the REIT market should use investment strategies that, according to research, are effective on the broad stock market, or strategies that work well on the investment fund market.\",\"PeriodicalId\":47182,\"journal\":{\"name\":\"Management\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.1000,\"publicationDate\":\"2023-04-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.58691/man/162862\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"MANAGEMENT\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.58691/man/162862","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MANAGEMENT","Score":null,"Total":0}
The effectiveness of the contrarian and momentum strategies on the US REIT market
When making investment decisions in financial markets, investors use various investment strategies. The traditional ones include the contrarian strategy and the moment strategy. In recent years, one of the dynamically developing segments of the global financial market has been the American REIT market. The literature on the subject lacks research on the effectiveness of investment strategies in this market. The aim of the article is therefore to compare the effectiveness of the contrarian strategy and momentum strategy on the US REIT market in different ranking periods. Based on the data on the rates of return of individual REITs listed on public capital markets in the US, the rates of return resulting from the application of the contrarian and momentum strategies were estimated. The results of the conducted analyses showed that for the three-year ranking period, the rates of return of the portfolio composed of loser REITs significantly exceeded the rates of return of the portfolio of winner REITs. This means that during this period the use of the contrarian strategy was more effective than the use of the momentum strategy. For other analysed ranking periods, the differences in rates of return were not statistically significant. The results of the conducted analyses may help investors in choosing the most effective investment strategy on the REIT market. This research also answers the question whether the REIT market should use investment strategies that, according to research, are effective on the broad stock market, or strategies that work well on the investment fund market.
期刊介绍:
The Journal deals with pressing problems, not only of general nature, but especially with those occurring in the countries in transition. In fact, it aims to cover functional issues, specific topics and general aspects of management related to all kinds of organizations – manufacturing and service companies, profit-making firms and non-profit organizations, private and public, as well as large and small enterprises.