Is the Mean Return of Hotel Real Estate Stocks Apt to Overreact to Past Performance? |
| |
Authors: | Minye Zhang Yongheng Deng |
| |
Institution: | (1) Finance, Real Estate, and Law Department, California State Polytechnic University, Pomona, 3801 West Temple Avenue, Pomona, CA 91768, USA;(2) Institute of Real Estate Studies, National University of Singapore, 21 Heng Mui Keng Terrace, #04-02, Singapore, 119613, Singapore |
| |
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-term price
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 in magnitude than the market 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. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|