{"id":1921,"date":"2020-10-13T15:01:26","date_gmt":"2020-10-13T07:01:26","guid":{"rendered":"http:\/\/www.gssinst.org\/irer\/?p=1921"},"modified":"2025-12-24T19:35:35","modified_gmt":"2025-12-24T11:35:35","slug":"momentum-strategies-with-home-price-indices-and-stocks","status":"publish","type":"post","link":"https:\/\/www.gssinst.org\/irer\/2020\/10\/13\/momentum-strategies-with-home-price-indices-and-stocks\/","title":{"rendered":"Momentum Strategies with Home Price Indices and Stocks"},"content":{"rendered":"\t\t<div data-elementor-type=\"wp-post\" data-elementor-id=\"1921\" class=\"elementor elementor-1921\" data-elementor-settings=\"[]\">\n\t\t\t\t\t\t<div class=\"elementor-inner\">\n\t\t\t\t\t\t\t<div class=\"elementor-section-wrap\">\n\t\t\t\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-2069d8c2 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"2069d8c2\" data-element_type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t\t\t<div class=\"elementor-row\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-100 elementor-top-column elementor-element elementor-element-4e9a01db\" data-id=\"4e9a01db\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-column-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t<div class=\"elementor-widget-wrap\">\n\t\t\t\t\t\t<div class=\"elementor-element elementor-element-6c85bfd9 elementor-widget elementor-widget-text-editor\" data-id=\"6c85bfd9\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-text-editor elementor-clearfix\"><p><!-- Article Title --><\/p><div class=\"article_label\">Article<\/div><p class=\"article_title\">Momentum Strategies with Home Price Indices and Stocks<\/p><div><p class=\"title_label_large\">Author<\/p><p class=\"title_label_large\">Start Page \/ End Page<\/p><p class=\"title_label\">Volume<\/p><p class=\"title_label\">Issue Number<\/p><p class=\"title_label\">Year<\/p><p class=\"title_label_large\">Publication<\/p><\/div><div><p><!-- Author \/ StartEndPage \/ Volume \/ IssueNumber \/ Year \/ Publication --><\/p><p class=\"title_text_large\">Yuming Li, Jing Yang<\/p><p class=\"title_text_large\">235 \/ 266<\/p><p class=\"title_text\">23<\/p><p class=\"title_text\">2<\/p><p class=\"title_text\">2020<\/p><p class=\"title_text_large\">International Real Estate Review<\/p><\/div><div class=\"empty\">\u00a0<\/div><p class=\"abstract_label\">Abstract<\/p><p><!-- Abstract Content --><br \/>We investigate the profitability of momentum strategies in the market for single-family homes by using 10 city-level Case-Shiller home price indices (HPIs). Compared with the momentum strategies based on the Fama-French 10-industry portfolios of stocks, the profits from the single-family HPIs are more statistically significant, less sensitive to the construction methods of the momentum strategies and more correlated across different strategies. The momentum profits from the HPIs tend to be counter-cyclical, unlike the pro-cyclical behaviors of the momentum profits from stock portfolios. The differences in the momentum profits with HPIs and stocks indicate that a momentum strategy with the former can help diversify the risk in the asset portfolio of investors.<\/p><p>\u00a0<\/p><p><!-- PDF DownloadLink --><\/p><p class=\"download\"><a href=\"http:\/\/www.gssinst.org\/irer\/wp-content\/uploads\/2021\/08\/v23-no2-4_Momentum-Strategies-with-Home-Price-Indices-and-Stocks.pdf\"><strong>View PDF -https:\/\/doi.org\/10.53383\/100301<\/strong><\/a><\/p><div class=\"empty\">\u00a0<\/div><p class=\"abstract_label\">Keywords<\/p><p><!-- Keywords --><\/p><div><p class=\"keywords\">Real Estate Portfolio, Momentum Strategy, Risk Diversification<\/p><\/div><\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"<p>Article Momentum Strategies with Home Price Indices and Stocks Author Start Page \/ End Page Volume Issue Number Year Publication&hellip;<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"article-template.php","format":"standard","meta":[],"categories":[205,204],"tags":[],"_links":{"self":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/1921"}],"collection":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/comments?post=1921"}],"version-history":[{"count":4,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/1921\/revisions"}],"predecessor-version":[{"id":4729,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/1921\/revisions\/4729"}],"wp:attachment":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/media?parent=1921"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/categories?post=1921"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/tags?post=1921"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}