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Momentum Profits in Australian Listed Property Trusts

Author/s: Chyi Lin Lee, Richard Reed, Jon Robinson

Date Published: 1/01/2007

Published in: Volume 13 - 2007 Issue 3 (pages 322 - 343)

Abstract

This paper examines the profitability of momentum trading strategies in Australian listed property trusts (LPTs). Monthly value-weighted momentum portfolios are formed using the monthly excess returns of LPTs for the period from 1990 to 2005. Overall the findings confirm that a momentum trading strategy in Australian LPTs is a profitable strategy. More specifically, momentum strategies are profitable after adjusting for variance and downside risk where the momentum returns substantially outperform the benchmark. An analysis using different study periods confirm the findings about momentum. The practical implication from this study is that investors can generate substantial abnormal returns by adopting a momentum trading strategy, particularly with a long strategy (i.e. winner portfolios).

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Keywords

Australian Lpts - Downside Risk - Momentum Returns - Normality - Risk-Adjusted Returns

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