File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Do real estate investors trade on momentum?

TitleDo real estate investors trade on momentum?
Authors
KeywordsMarket efficiency
Price volatility
Short-term trading
Transaction tax
Issue Date1-Nov-2022
PublisherElsevier
Citation
North American Journal of Economics and Finance, 2022, v. 62 How to Cite?
AbstractReal estate markets are known to be less-than-efficient for many reasons, but what roles short-term trading plays are unclear. Do short-term investors bring additional risk to the market and cause prices to deviate from fundamental values? Based on an extensive dataset of property transactions and a policy shock that substantially raised the cost of short-term trading in Hong Kong, we estimate ‘real estate risk’ with and without short-term trading based on return predictability, return volatility, and price dispersion. Our results show that as short-term investors exit the market, market returns are less predictable and less volatile, while prices are less dispersed cross-sectionally. Consistent with herding models in behavioral finance, the findings suggest that short-term investors are momentum traders who do not enhance price efficiency.
Persistent Identifierhttp://hdl.handle.net/10722/338366
ISSN
2023 Impact Factor: 3.8
2023 SCImago Journal Rankings: 0.859
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorDeng, KK-
dc.contributor.authorWong, SK-
dc.contributor.authorCheung, KS-
dc.contributor.authorTse, KS -
dc.date.accessioned2024-03-11T10:28:19Z-
dc.date.available2024-03-11T10:28:19Z-
dc.date.issued2022-11-01-
dc.identifier.citationNorth American Journal of Economics and Finance, 2022, v. 62-
dc.identifier.issn1062-9408-
dc.identifier.urihttp://hdl.handle.net/10722/338366-
dc.description.abstractReal estate markets are known to be less-than-efficient for many reasons, but what roles short-term trading plays are unclear. Do short-term investors bring additional risk to the market and cause prices to deviate from fundamental values? Based on an extensive dataset of property transactions and a policy shock that substantially raised the cost of short-term trading in Hong Kong, we estimate ‘real estate risk’ with and without short-term trading based on return predictability, return volatility, and price dispersion. Our results show that as short-term investors exit the market, market returns are less predictable and less volatile, while prices are less dispersed cross-sectionally. Consistent with herding models in behavioral finance, the findings suggest that short-term investors are momentum traders who do not enhance price efficiency.-
dc.languageeng-
dc.publisherElsevier-
dc.relation.ispartofNorth American Journal of Economics and Finance-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectMarket efficiency-
dc.subjectPrice volatility-
dc.subjectShort-term trading-
dc.subjectTransaction tax-
dc.titleDo real estate investors trade on momentum?-
dc.typeArticle-
dc.identifier.doi10.1016/j.najef.2022.101746-
dc.identifier.scopuseid_2-s2.0-85133497840-
dc.identifier.volume62-
dc.identifier.eissn1879-0860-
dc.identifier.isiWOS:000830590300002-
dc.identifier.issnl1062-9408-

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats