Is There Still a Day-of-the-Week Effect in the Real Estate Sector?

Julius Marcus Reis, Leonard Grebe, Dirk Schiereck and Kerstin Hennig
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Julius Marcus Reis: Technical University of Darmstadt, Darmstadt, Germany
Leonard Grebe: Technical University of Darmstadt, Darmstadt, Germany
Dirk Schiereck: Technical University of Darmstadt, Darmstadt, Germany
Kerstin Hennig: Frankfurt School of Finance & Management Real Estate Institute, Frankfurt, Germany

Oblik i finansi, 2023, issue 3, 84-97

Abstract: This study contributes to the ongoing debate on the persistence of stock market anomalies in equity markets (McLean and Pontiff, 2016; Jacobs and Muller, 2020) and concentrates on the day-of-the-week effect in the European real estate sector. Interest payments and settlement effects were discussed as the main factors to explain this anomaly in the past. Today the persistence is highly questionable concerning the dynamically adjusting economic and institutional environment. While previous research indicated a significant Monday and Friday effect in other sectors, literature can only support a Friday effect for real estate. Furthermore, the real estate sector has a lower level of mispricing, which makes it more difficult for an anomaly to survive (Bampinas et al., 2016). The data is splitted in three ten-year periods to analyze the effect's existence over the long term. Applying OLS and GARCH models, results reveal an evolution in a significant Friday effect for cross-country indices (Europe and Global). From 1990 to 2000, the effect is weak but significant. It gains in importance during the period 2000 to 2009. In the final period until 2020, the anomaly weakens again but does not disappear for cross-country indices. From a country-specific perspective, there is no pattern in the significance of the day-of-the-week effect. The real estate sector has a local business character. Therefore, country-specific effects are possible, but a pattern is not found. In conclusion, there is still a day-of-the-week effect in the real estate sector in Europe from a cross-country perspective.

Keywords: day-of-the-week-effect; real estate; GARCH; Friday effect; Monday effect; Weekend effect; stock market anomaly (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:iaf:journl:y:2023:i:3:p:84-97

DOI: 10.33146/2307-9878-2023-3(101)-84-97

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