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UK REITs Don't Like Mondays

Author

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  • Arvydas Jadevicius
  • Stephen Lee

Abstract

The research examines whether REITs returns on the different days of the week differ from each other. It uses EPRA/NAREIT UK Index daily closing values (GBP) and its two sub-indices FTSE EPRA/NAREIT UK REITs and Non-REITs as dependent variables. It employs Kruskal-Wallis (KW) tests and dummy-variable regression to test the hypothesis. In addition to that, the study introduces dummies for outliers to control for observations that are distant from other data-points. The overall findings provide evidence that return anomalies exist in the UK REITs. Investors can therefore gain superior returns in UK REITs by recognising the day-of-the-week effect.

Suggested Citation

  • Arvydas Jadevicius & Stephen Lee, 2015. "UK REITs Don't Like Mondays," ERES eres2015_94, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2015_94
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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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