On the Earnings and Price Momentum Strategies: Evidence from European Real Estate Firms
Posted: 12 Oct 2018 Last revised: 10 Dec 2018
Date Written: September 19, 2018
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
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