Real estate securities and a filter-based short-term trading strategy.

SelectedWorks Author Profiles:

Gary A. Patterson

Document Type


Publication Date


Date Issued

January 1999

Date Available

August 2014




Anecdotal evidence provides overwhelming support to the belief that sophisticated real estate investors profit by timing long-run real estate cycles. This article examines the investment performance benefits that sophisticated investors may derive from short-run cycles in real estate, specifically, through the publicly traded real estate markets. Using a simple strategy that filters out noise in real estate investment trust (REIT) price reversals, this study shows that a contrarian strategy is many times more profitable than the associated execution costs. Furthermore, the study demonstrates that the REIT market has been sufficiently liquid to execute this trading strategy. This last point is directly related to the filter strategy since only REITs with large price movements satisfy the hypothetical investor's selection criteria.


Citation only. Full-text article is available through licensed access provided by the publisher. Published in Journal of Real Estate Research, 18, 313-333. Members of the USF System may access the full-text of the article through the authenticated link provided.




American Real Estate Society

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.