Please use this identifier to cite or link to this item: https://doi.org/10.1007/s11146-009-9223-x
Title: Is the mean return of hotel real estate stocks apt to overreact to past performance?
Authors: Zhang, M.
Deng, Y. 
Keywords: Hotel
Overreact
Stock return pattern
Issue Date: 2010
Source: Zhang, M., Deng, Y. (2010). Is the mean return of hotel real estate stocks apt to overreact to past performance?. Journal of Real Estate Finance and Economics 40 (4) : 497-543. ScholarBank@NUS Repository. https://doi.org/10.1007/s11146-009-9223-x
Abstract: This study examines the return patterns of hotel real estate stocks in the U.S. during the period from 1990 to 2007.We find that the magnitude and persistence of future mean returns of hotel real estate stocks can be predicted based on past returns, past earnings surprise, trading volume, firm size, and holding period. The empirical evidence found from this paper confirms that short-horizon contrarian profits can be partially explained by the lead-lag effects, while in the intermediate-termprice momentum profits and long-term contrarian profits can be partially attributed to the firms' overreaction to past price changes. Our results support the contrarian/overreaction hypothesis, and they are inconsistent with the Fama-French risk-based hypothesis or the underreaction hypothesis. The study also confirms the earning underreaction hypothesis and finds the high volume stocks tend to earn high momentum profits in the intermediate-term. The study finds that the earning momentum effect for hotel stocks is more short-lived and smaller inmagnitude than themarket average. Price momentum portfolios (or contrarian portfolios) of big hotel firms underperform small hotel firms and the hotel price momentum portfolio (or contrarian portfolios) significantly underperform the overall market over the intermediate-term (or the long-term). These findings imply that the U.S. hotel industry, particularly the big hotel firms, have experienced relatively conservative growth in the sample period. It suggests that a conservative hotel growth strategy accompanied by an internal-oriented financing policy is proper in a period of prosperity. © Springer Science + Business Media, LLC 2009.
Source Title: Journal of Real Estate Finance and Economics
URI: http://scholarbank.nus.edu.sg/handle/10635/46177
ISSN: 08955638
DOI: 10.1007/s11146-009-9223-x
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

4
checked on Dec 5, 2017

WEB OF SCIENCETM
Citations

2
checked on Dec 5, 2017

Page view(s)

64
checked on Dec 11, 2017

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.