Performance of Pairs Trading Strategy in the U.S. REIT Market

Real Estate Economics

Volumn 39, Issue 3, 2011, Pages 409-428

  Mori, Masaki ^a   Ziobrowski, Alan J ^b  

^a INTERNATIONAL UNIVERSITY OF JAPAN   (Japan)

^b GEORGIA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 80051697819     PISSN: 10808620     EISSN: 15406229     Source Type: Journal    
DOI: 10.1111/j.1540-6229.2010.00302.x     Document Type: Article

References (13)

1. Chan, S.H., J. Erickson and K. Wang 2003. Real Estate Investment Trusts: Structure, Performance, and Investment Opportunities. Oxford University Press: New York, NY .
2. Chen, Z. and P.J. Knez 1995. Measurement of Market Integration and Arbitrage. Review of Financial Studies 8: 287-325.
3. Chan, S.H., W.K. Leung and K. Wang 2005. Changes in REIT Structure and Stock Performance: Evidence from the Monday Stock Anomaly. Real Estate Economics 33: 89-120.
4. Do, B. and R. Faff 2009. Does Naïve Pairs Trading Still Work? Working Paper. Monash University, Australia.
5. Elliott, R.J., J. Van Der Hoek and W.P. Malcolm 2005. Pairs Trading. Quantitative Finance 5: 271-276.
6. Gatev, E., W.N. Goetzmann and K.G. Rouwenhorst 2006. Pairs Trading: Performance of a Relative-Value Arbitrage Rule. Review of Financial Studies 19: 797-827.
7. Ghosh, C., M. Miles and C.F. Sirmans 1996. Are REITs Stocks? Real Estate Finance 13: 46-53.
8. Hardin, W.G., K. Liano and G.C. Huang 2005. REIT Stock Splits and Market Efficiency. The Journal of Real Estate Finance and Economics 30: 297-315.
9. Higgins, E.J., R.L. Ott and R.A. Van Ness 2006. The Information Content of the 1999 Announcement of Funds from Operations (FFO) Changes for Real Estate Investment Trusts. Journal of Real Estate Research 28: 241-255.
10. Huck, N. 2009. Pairs Selection and Outranking: An Application to the S&P 100 Index. European Journal of Operational Research 196: 819-825.
11. Jegadeesh, N. and S. Titman 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance 48: 65-91.
12. Vidyamurthy, G. 2004. Pairs Trading: Quantitative Methods and Analysis. Wiley: Hoboken, NJ .
13. Wagner, A.K., S.B. Soumerai and F. Zhang 2002. Segmented Regression Analysis of Interrupted Time Series Studies in Medication Use Research. Journal of Clinical Pharmacy and Therapeutics 27: 299-309.