Is There Still a Day-of-the-Week Effect in the Real Estate Sector?

Julius Reis, Leonard Grebe, D. Schiereck and Kerstin Hennig

Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)

Abstract: This study contributes to the ongoing debate on the persistence of stock market anomalies in equity markets (McLean and Pontiff, 2016; Jacobs and Müller, 2020) and concentrates on the day-of-the-week effect in the European real estate sector. Interest payments and settlement effects were discussed as the main factors to explain this anomaly in the past. Today the persistence is highly questionable concerning the dynamically adjusting economic and institutional environment. While previous research indicated a significant Monday and Friday effect in other sectors, literature can only support a Friday effect for real estate. Furthermore, the real estate sector has a lower level of mispricing, which makes it more difficult for an anomaly to survive (Bampinas et al., 2016). The data is splitted in three ten-year periods to analyze the effect's existence over the long term. Applying OLS and GARCH models, results reveal an evolution in a significant Friday effect for cross-country indices (Europe and Global). From 1990 to 2000, the effect is weak but significant. It gains in importance during the period 2000 to 2009. In the final period until 2020, the anomaly weakens again but does not disappear for cross-country indices. From a country-specific perspective, there is no pattern in the significance of the day-of-the-week effect. The real estate sector has a local business character. Therefore, countryspecific effects are possible, but a pattern is not found. In conclusion, there is still a day-of-the-week effect in the real estate sector in Europe from a cross-country perspective.

Date: 2023
New Economics Papers: this item is included in nep-eur and nep-ure
Note: for complete metadata visit http://tubiblio.ulb.tu-darmstadt.de/141998/
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Oblìk ì fìnansi [Accounting and Finance] 3 (2023) : pp. 84-97

Downloads: (external link)
http://www.afj.org.ua/pdf/1009-chi-vse-sche-isnue- ... tori-neruhomosti.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dar:wpaper:141998

Access Statistics for this paper

More papers in Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) Contact information at EDIRC.
Bibliographic data for series maintained by Dekanatssekretariat ().