The predictability of real estate returns and market timing

  • Jianping Mei
  • Crocker H. Liu
Article

DOI: 10.1007/BF01097033

Cite this article as:
Mei, J. & Liu, C.H. J Real Estate Finan Econ (1994) 8: 115. doi:10.1007/BF01097033

Abstract

Recent 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 predicability 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.

Key words

Market timing predictability trading profits real estate securities 

Copyright information

© Kluwer Academic Publishers 1994

Authors and Affiliations

  • Jianping Mei
    • 1
  • Crocker H. Liu
    • 1
  1. 1.Department of Finance, Stern School of BusinessNew York UniversityNew York