This study applies various popular technical trading rules to Asian property market indices from 1995 to 2015 to investigate the profitability of these rules. The results validate the predictive and profitability power of technical indicators in the markets of Indonesia, Malaysia, Taiwan, and...

This study investigates systematic monthly return regularities in the listed equity returns of twelve European property companies.? Significant monthly effects exist in all sampled countries with Germany as the single exception. Furthermore, the findings provide evidence of abnormally high...

This paper investigates the random walk behavior of real estate investment trust (REIT) sub-sectors using monthly return data from January 1994 to July 2015. Using variance ratio tests, we examine sub-sectors of lodging/ resorts and self-storage and find that they do not follow a random walk,...

This paper investigates the relationship between financial news content (optimistic/pessimistic), REIT returns, and trading volume. We apply textual analysis and find that high media pessimism predicts downward pressure on REIT returns. Negative words in the financial press are significantly...

Factor analytic techniques were applied to 18 real estate equity markets using weekly FTSE EPRA/NAREIT data during the period 1997 to 2009. Our results from the exploratory factor analysis suggest three distinct factors during 1997 to 2007. With a single exception, the national returns fall...

This study provides initial empirical evidence on the usefulness of consumer sentiment and investor optimism indices in explaining real estate investment trust (REIT) price movements. We find evidence of uni-directional causality from REIT returns to the change in Michigan Consumer Sentiment...