Calendar anomalies in REITs: international evidence

Mohammed Khaled () and Stephen Keef

Journal of Property Investment & Finance, 2012, vol. 30, issue 4, 375-388

Abstract: Purpose - The purpose of this paper is to determine the relative magnitude of calendar anomalies in international Real Estate Investment Trusts (REITs). The anomalies are the prior day effect, the Monday effect, the turn‐of‐the‐month effect and the January effect. The results are based on 14 countries. The corresponding stock index is used as the reference by which to gauge the anomalous behaviour of each REIT. Design/methodology/approach - There are two primary dimensions to the statistical design. Between‐country differences, based on Gross Domestic Product (GDP) and a measure of shareholder protection, are examined using a panel model. Differences between the REITs and their stock index are examined using a repeated measures dependent variable design. Findings - The presence of the four calendar anomalies is apparent in the REITs and the stock indices. There is not sufficient evidence to show that the magnitudes of the Monday, the turn‐of‐the‐month and the January anomalies differ between REITs and stock indices. However, there is evidence that the bad day effect is stronger for REITs compared to stocks. Research limitations/implications - In terms of market development, the sample of countries is unavoidably constrained. The sample represents developed economies. The degree that these results pertain to less developed economies has yet to be established. Originality/value - Existing research into the influence of calendar anomalies on REITs is based on US data. This paper examines the influence in 14 countries, including the USA, using a robust and efficient statistical design.

Keywords: REIT; International; Prior day effect; Monday effect; Turn‐of‐the‐month effect; January effect; Panel data; United States of America; Real estate (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:jpifpp:v:30:y:2012:i:4:p:375-388

DOI: 10.1108/14635781211241770

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