Glabadanidis, Paskalis - In: International Review of Finance 14 (2014) 2, pp. 161-202
I present evidence that a moving average (MA) trading strategy dominates buying and holding the underlying asset in a mean-variance sense using monthly returns of value-weighted and equal-weighted US REIT indexes over the period January 1980 until December 2010. The abnormal returns are largely...