Have U.S. Financial Institutions' Real Estate Investments Exhibited “Trend-Chasing” Behavior?
利用1970-1989年美国商业银行、储蓄机构和寿险公司的房地产投资数据，发现商业银行和储蓄机构的投资主要受过去回报驱动而非未来预期，这种“追涨杀跌”策略解释了其投资表现不佳，并指出市场价值会计可能强化该行为。
This paper uses real estate investment data for major groups of U.S. financial institutions - commercial banks, thrifts, and life insurance companies - to evaluate their investment timing performance over the 1970 - 1989 period. Our major finding is that real estate investments by commercial banks and thrifts have largely been driven by past real estate and market returns rather than by future expected returns. This apparent "trend-chasing" investment strategy - of buying high and selling low - offers an explanation for the poor performance of their real estate investments. We argue that imposing market value accounting on such institutions may actually reinforce their "trend-chasing" behavior. © 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology