Real Estate Investment Trusts and Calendar Anomalies

Arnold L. Redman, Herman Manakyan and Kartono Liano ()
Additional contact information
Arnold L. Redman: Department of Economics and Finance School of Business Administration The University of Tennessee-Martin Martin, Tennessee 38238, http://www.utm.edu/~soba/afe.html
Herman Manakyan: Department of Finance and CIS College of Business Administration Western Kentucky University Bowling Green, Kentucky 42101, http://www.wku.edu/Dept/Academic/COBA/FINANCE/
Kartono Liano: Department of Finance and Economics College of Business and Industry Mississippi State University Mississippi State, Mississippi 39762, http://www.cbi.msstate.edu/

Journal of Real Estate Research, 1997, vol. 14, issue 1, pages 19-28

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.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1997
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