Building momentum

: an exploration of Real Estate Operating companies' dynamics

Abstract

REIT returns are commonly subject to extensive research. However, the smaller subindustry of REOCs is neglected, despite being most prevalent form of real estate stocks in Europe. For REITs it has been established that momentum strategies are a viable investment opportunity. This dissertation investigates the effectiveness of momentum strategies in European REOCs by conducting a comprehensive and systematic analysis of historical REOC returns. The primary objective is to determine whether momentum is prevalent between 1990 and 2023 as well as three sub-periods. Further, we want to see if those strategies can consistently generate excess returns throughout the total period and the subperiods. This research contributes to the existing body of literature on the topic, providing valuable insights for both practitioners and academics alike. Our results indicate that the momentum effect is prevalent in the overall sample but more significant in the second subperiod where financial markets underperformed. Furthermore, we show that the REOC momentum strategy generates excess returns compared to the market suggesting that momentum investing can be a viable and profitable approach for market participants in the European real estate sector.

Date of Award	29 Jun 2023
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Alain Chevalier (Supervisor)