UK REITs Don't Like Mondays

Arvydas Jadevicius and Stephen Lee

ERES from European Real Estate Society (ERES)

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.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2015-07-01
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2015_94

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