On the Earnings and Price Momentum Strategies: Evidence from European Real Estate Firms

Jochem J. Bron, Chinmoy Ghosh, Milena T. Petrova

Research output: Contribution to journalArticlepeer-review

6 Scopus citations


We test the performance and interaction between earnings and price momentum for European real estate companies by first making use of decile portfolios sorted on the previous 3- to 12-month returns, standardized unexpected earnings and a combination of both. Then, the relation is tested on a risk-adjusted basis employing a 3-factor asset pricing model and Fama and Macbeth (1973) cross-sectional regression analyses. Our analyses reveal several critical findings: (1) both price and earnings momentum are effective for European firms, the effect being stronger for the UK than EU firms; (2) unlike U.S. REITs, price momentum seems to dominate drift for European firms; (3) there is weak evidence for positive interaction between drift and price momentum, contrary to the U.S. evidence; (4) the performance of momentum strategies depends on the state of the economy, while controlling for systematic factors; (5) idiosyncratic risk of real estate property firms may influence the returns on drift and momentum factors.

Original languageEnglish (US)
Pages (from-to)400-430
Number of pages31
JournalJournal of Real Estate Finance and Economics
Issue number3
StatePublished - Oct 1 2018


  • Asset pricing
  • Earnings momentum
  • European real estate
  • Idiosyncratic risk
  • Price momentum
  • REITs

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies


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