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Real Estate Investment Trusts and Calendar Anomalies

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Abstract

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.

Suggested Citation

  • Arnold L. Redman & Herman Manakyan & Kartono Liano, 1997. "Real Estate Investment Trusts and Calendar Anomalies," Journal of Real Estate Research, American Real Estate Society, vol. 14(1), pages 19-28.
  • Handle: RePEc:jre:issued:v:14:n:1:1997:p:19-28
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    References listed on IDEAS

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    Cited by:

    1. Mine AKSOY & Veysel ULUSOY, 2015. "Analysis Of Relative Return Behaviour Of Borsa Istanbul Reit And Borsa Istanbul 100 Index," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 107-128, March.
    2. Georgios Bampinas & Stilianos Fountas & Theodore Panagiotidis, 2016. "The day-of-the-week effect is weak: Evidence from the European real estate sector," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(3), pages 549-567, July.
    3. Dirk Brounen & Yair Ben-Hamo, 2009. "Calendar Anomalies: The Case of International Property Shares," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 115-136, February.
    4. E. Hui & J. Wright & S. Yam, 2014. "Calendar Effects and Real Estate Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 91-115, July.
    5. William G. Hardin III & Kartono Liano & Gow-cheng Huang, 2005. "Real Estate Investment Trusts and Calendar Anomalies: Revisited," International Real Estate Review, Asian Real Estate Society, vol. 8(1), pages 83-94.
    6. Mehmet Akbulut & Su Han Chan & Mariya Letdin, 2015. "Calendar Anomalies: Do REITs Behave Like Stocks?," International Real Estate Review, Asian Real Estate Society, vol. 18(2), pages 177-215.
    7. Jonathan Wiley & Leonard Zumpano, 2009. "Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 180-201, August.
    8. James Doran & David Peterson & S. Price, 2012. "Earnings Conference Call Content and Stock Price: The Case of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 402-434, August.
    9. Joseph T.L. Ooi & James R. Webb & Dingding Zhou, 2007. "Extrapolation Theory and the Pricing of REIT Stocks," Journal of Real Estate Research, American Real Estate Society, vol. 29(1), pages 27-56.

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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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