Real Estate Investment Trusts and Calendar Anomalies
There have been numerous studies in the finance literature on the existence of calendar anomalies in common stock and a few studies of individual anomalies in the markets for real estate investment trusts. This study provides a comprehensive examination of the existence of four calendar anomalies for REITs and common stocks from 1986 through 1993. The results show the existence of the January effect, the turn-of-the-month effect, the day-of-the-week effect, and the pre-holiday effect in REITs and equally weighted index of stocks. REIT returns tend to be higher in January, on Friday, on turn-of-the-month trading days, and on pre-holiday trading days.
Volume (Year): 14 (1997)
Issue (Month): 1 ()
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|Order Information:|| Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323|
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