Building momentum : an exploration of Real Estate Operating companies' dynamics
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/42478 |
Resumo: | REIT returns are commonly subject to extensive research. However, the smaller subindustry of REOCs is neglected, despite being most prevalent form of real estate stocks in Europe. For REITs it has been established that momentum strategies are a viable investment opportunity. This dissertation investigates the effectiveness of momentum strategies in European REOCs by conducting a comprehensive and systematic analysis of historical REOC returns. The primary objective is to determine whether momentum is prevalent between 1990 and 2023 as well as three sub-periods. Further, we want to see if those strategies can consistently generate excess returns throughout the total period and the subperiods. This research contributes to the existing body of literature on the topic, providing valuable insights for both practitioners and academics alike. Our results indicate that the momentum effect is prevalent in the overall sample but more significant in the second subperiod where financial markets underperformed. Furthermore, we show that the REOC momentum strategy generates excess returns compared to the market suggesting that momentum investing can be a viable and profitable approach for market participants in the European real estate sector. |
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Building momentum : an exploration of Real Estate Operating companies' dynamicsMomentum strategyReal estate operating companiesInvestment strategyFinancial performanceReal estateMarket efficiencyEstratégia de momentumEmpresas imobiliárias operacionaisEstratégia de investimentoDesempenho financeiroImobiliárioEficiência de mercadoDomínio/Área Científica::Ciências Sociais::Economia e GestãoREIT returns are commonly subject to extensive research. However, the smaller subindustry of REOCs is neglected, despite being most prevalent form of real estate stocks in Europe. For REITs it has been established that momentum strategies are a viable investment opportunity. This dissertation investigates the effectiveness of momentum strategies in European REOCs by conducting a comprehensive and systematic analysis of historical REOC returns. The primary objective is to determine whether momentum is prevalent between 1990 and 2023 as well as three sub-periods. Further, we want to see if those strategies can consistently generate excess returns throughout the total period and the subperiods. This research contributes to the existing body of literature on the topic, providing valuable insights for both practitioners and academics alike. Our results indicate that the momentum effect is prevalent in the overall sample but more significant in the second subperiod where financial markets underperformed. Furthermore, we show that the REOC momentum strategy generates excess returns compared to the market suggesting that momentum investing can be a viable and profitable approach for market participants in the European real estate sector.Os retornos dos REITs são comumente objeto de extensa pesquisa. No entanto, a classe menor de REOCs quase nunca é analisada em detalhes, apesar de ser mais prevalente na Europa. Para os REITs, foi estabelecido que as estratégias de momentum são uma oportunidade de investimento viável. Esta dissertação tem como objetivo investigar a eficácia das estratégias de momentum nos REOCs europeus, realizando uma análise abrangente e sistemática dos retornos históricos das ações. O objetivo principal é determinar se o momentum é prevalente entre 1990 e 2023, bem como em três subperíodos específicos. Além disso, queremos ver se essas estratégias podem gerar retornos consistentemente excessivos. Esta pesquisa contribui para o corpo existente de literatura sobre o tema, fornecendo informações valiosas para profissionais e acadêmicos. Os nossos resultados indicam que o efeito momentum é prevalente na amostra geral, mas mais significativo em períodos em que os mercados financeiros apresentam um desempenho inferior. Além disso, demonstramos que os retornos long-short dos REOCs geram retornos excessivos em relação ao mercado, sugerindo que o investimento em momentum pode ser uma abordagem viável e lucrativa para os participantes do mercado no setor imobiliário europeu.Chevalier, AlainVeritati - Repositório Institucional da Universidade Católica PortuguesaBücker, Friedrich2023-09-20T08:31:00Z2023-06-2920232023-06-29T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/42478TID:203327403enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-09-26T01:44:00Zoai:repositorio.ucp.pt:10400.14/42478Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:30:55.999551Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Building momentum : an exploration of Real Estate Operating companies' dynamics |
title |
Building momentum : an exploration of Real Estate Operating companies' dynamics |
spellingShingle |
Building momentum : an exploration of Real Estate Operating companies' dynamics Bücker, Friedrich Momentum strategy Real estate operating companies Investment strategy Financial performance Real estate Market efficiency Estratégia de momentum Empresas imobiliárias operacionais Estratégia de investimento Desempenho financeiro Imobiliário Eficiência de mercado Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Building momentum : an exploration of Real Estate Operating companies' dynamics |
title_full |
Building momentum : an exploration of Real Estate Operating companies' dynamics |
title_fullStr |
Building momentum : an exploration of Real Estate Operating companies' dynamics |
title_full_unstemmed |
Building momentum : an exploration of Real Estate Operating companies' dynamics |
title_sort |
Building momentum : an exploration of Real Estate Operating companies' dynamics |
author |
Bücker, Friedrich |
author_facet |
Bücker, Friedrich |
author_role |
author |
dc.contributor.none.fl_str_mv |
Chevalier, Alain Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Bücker, Friedrich |
dc.subject.por.fl_str_mv |
Momentum strategy Real estate operating companies Investment strategy Financial performance Real estate Market efficiency Estratégia de momentum Empresas imobiliárias operacionais Estratégia de investimento Desempenho financeiro Imobiliário Eficiência de mercado Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Momentum strategy Real estate operating companies Investment strategy Financial performance Real estate Market efficiency Estratégia de momentum Empresas imobiliárias operacionais Estratégia de investimento Desempenho financeiro Imobiliário Eficiência de mercado Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
REIT returns are commonly subject to extensive research. However, the smaller subindustry of REOCs is neglected, despite being most prevalent form of real estate stocks in Europe. For REITs it has been established that momentum strategies are a viable investment opportunity. This dissertation investigates the effectiveness of momentum strategies in European REOCs by conducting a comprehensive and systematic analysis of historical REOC returns. The primary objective is to determine whether momentum is prevalent between 1990 and 2023 as well as three sub-periods. Further, we want to see if those strategies can consistently generate excess returns throughout the total period and the subperiods. This research contributes to the existing body of literature on the topic, providing valuable insights for both practitioners and academics alike. Our results indicate that the momentum effect is prevalent in the overall sample but more significant in the second subperiod where financial markets underperformed. Furthermore, we show that the REOC momentum strategy generates excess returns compared to the market suggesting that momentum investing can be a viable and profitable approach for market participants in the European real estate sector. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-09-20T08:31:00Z 2023-06-29 2023 2023-06-29T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/42478 TID:203327403 |
url |
http://hdl.handle.net/10400.14/42478 |
identifier_str_mv |
TID:203327403 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799133577617604608 |