UK REITs don’t like Mondays

Arvydas Jadevicius and Stephen Lee

Journal of Property Investment & Finance, 2017, vol. 35, issue 1, 58-74

Abstract: Purpose - The purpose of this paper is to examine whether Real Estate Investment Trusts (REITs) returns on the different days of the week differ from each other. Design/methodology/approach - It uses European Public Real Estate Association (EPRA)/National Association of Real Estate Investment Trusts (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 tests and dummy-variable regression to test the hypothesis. Findings - The overall findings provide evidence that return anomalies exist in the UK REITs. Practical implications - Thought significant, the absolute returns differences are modest for investors to gain superior returns in UK REITs. However, by recognising the day-of-the-week effect, investors can buy/sell UK REITs more effectively. Originality/value - This research brings updated evidence of the contested calendar anomalies issues in REITs.

Keywords: Calendar; REITs; UK; Anomaly; Returns; Monday (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jpifpp:jpif-03-2016-0021

DOI: 10.1108/JPIF-03-2016-0021

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