Accessibility navigation

Performance of pairs trading strategy in the U.S. REIT market

Mori, M. and Ziobrowski, A. J. (2011) Performance of pairs trading strategy in the U.S. REIT market. Real Estate Economics, 39 (3). pp. 409-428. ISSN 1540-6229

[img] Text - Accepted Version
· Restricted to Repository staff only
· The Copyright of this document has not been checked yet. This may affect its availability.


It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1111/j.1540-6229.2010.00302.x


We examine the performance of pairs trading in the U.S. REIT market compared with that in the U.S. general stock market over the period 1987 to 2008. The results suggest that the REIT market provided superior profit opportunities for this strategy over common stocks after accounting for the effect of the bid‐ask bounce between 1993 and 2000. This was likely because of the unique characteristics of REITs, which permitted the selection of good pairs of close substitutes and the structural changes that occurred in 1993 in the REIT market. The superior trading profits in REITs disappear after 2000.

Item Type:Article
Divisions:Henley Business School > Real Estate and Planning
ID Code:79276
Publisher:American Real Estate and Urban Economics Association

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation