On the Earnings and Price Momentum Strategies: Evidence from European Real Estate Firms

Posted: 12 Oct 2018 Last revised: 10 Dec 2018

See all articles by Jochem Bron

Jochem Bron

NIBC Bank N.V.

Chinmoy Ghosh

University of Connecticut - Department of Finance

Milena Petrova

Syracuse University - Whitman School of Management; Bocconi University

Date Written: September 19, 2018

Abstract

We test the performance and interaction between earnings and price momentum for European real estate companies by first making use of decile portfolios sorted on the previous 3- to 12-month returns, standardized unexpected earnings and a combination of both. Then, the relation is tested on a risk-adjusted basis employing a 3-factor asset pricing model and Fama & Macbeth (1973) cross-sectional regression analyses. Our analyses reveal several critical findings: (10) both price and earnings momentum is effective for European firms, the effect being stronger for the UK than EU firms; (2) unlike U.S. REITs, price momentum strategies depends on the state of the economy, while controlling for systematic factors; (5) idiosyncratic risk of real estate property firms may influence the returns on drift and momentum factors.

Keywords: Earnings Momentum; Price Momentum; REITS; Asset Pricing; European Real Estate; Idiosyncratic Risk

Suggested Citation

Bron, Jochem and Ghosh, Chinmoy and Petrova, Milena, On the Earnings and Price Momentum Strategies: Evidence from European Real Estate Firms (September 19, 2018). Journal of Real Estate Finance and Economics, Vol. 57, No. 3, 2018, University of Connecticut School of Business Research Paper No. 18-29, Available at SSRN: https://ssrn.com/abstract=3252023

Jochem Bron

NIBC Bank N.V. ( email )

Carnegieplein 4
Den Haag, 2517KJ
Netherlands

Chinmoy Ghosh

University of Connecticut - Department of Finance ( email )

School of Business
2100 Hillside Road
Storrs, CT 06269
United States
860-486-3040 (Phone)
860-486-0349 (Fax)

Milena Petrova (Contact Author)

Syracuse University - Whitman School of Management ( email )

721 University Avenue
Syracuse, NY 13244-2130
United States

Bocconi University ( email )

Via Sarfatti, 25
Milan, MI 20136
Italy

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