This article studies the ability of momentum strategies to generate extra-profits in private real estate markets. We test a variety of frequencies of portfolio re-weighting and periods over which winner and loser segments are identified. Finally, since real estate returns tend to be highly...

In this paper we investigate the commonly used auto-regressive filter method of adjusting appraisal-based real estate returns to correct for the perceived biases induced in the appraisal process. Many papers have been written on appraisal smoothing but remarkably few have considered the...

We evaluate a number of real estate sentiment indices to ascertain current and forward-looking information content that may be useful for forecasting demand and supply activities. Analyzing the dynamic relationships within a Vector Auto-Regression (VAR) framework and using the quarterly US data...