International Real Estate Investment Trusts: The existence of macro-calendar effect in the REIT market

Kevin Teung Chan and Ytzen van der Werf

ERES from European Real Estate Society (ERES)

Abstract: The existing literature still debates on the existence of calendar anomalies. One explanation given is the cause of cluster release of macroeconomic news. This research investigates the presence of the more advanced calendar effect in the REIT market which in this study is called "macro-calendar effect". The aim of this research is to examine the existence of macro-calendar effect in the REITs market in a global context by identifying the characteristics of this phenomenon. Further, we will provide alternative strategies, using the macro calendar effect, for REITs investors that can outperform the traditional buy-hold approach enhancing their REIT investment returns. The research approach adopted includes a comprehensive literature review on the origin of macro-calendar effect coupled with collection and analysis of quantitative data from eight countries with a period between 2006 and 2015. The latter is based on regression analysis to determine the statistical significance of macro-calendar effect and the development of alternative investment strategies. The findings provide evidence that the macro calendar effect is not universal and a different approach to the strategy is required for various countries. The main conclusion indicates that the macro calendar effect exists on a rather small scale. It is not entirely explained whether the anomalies are actually based on macroeconomic releases since other influences are not fully isolated. This research argues that the REIT market is still not at its strongest form of efficiency to reflect all available information into the price. Therefore, alternative strategies could be developed. Investors should be informed on how to react to this phenomenon. Finally, the developed strategies have the potential to outperform the traditional buy-hold strategies and allow REIT investors to maximize their investment returns.

Keywords: announcements; international investors; macro calendar effect; market effciency; REITs (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2017-07-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2017-303 (text/html)

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:arz:wpaper:eres2017_303

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().