Real Estate Investment Trusts and Calendar Anomalies: Revisited
Initial research on calendar anomalies has shown their existence for real estate investment trusts (REITs) and for the general stock market. Recent studies of the general stock market, however, have shown that these anomalies have disappeared or been reversed over time. The present research updates existing REIT calendar anomaly research through the use of value-weighted and equal-weighted REIT indices and the decomposition of income and capital returns. From 1994 to 2002, the presence of calendar anomalies is sensitive to the use of REIT index type as well as the dividend yield and capital yield components. The use of the value-weighted index eliminates the appearance of calendar anomalies in REITs.
Volume (Year): 8 (2005)
Issue (Month): 1 ()
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