Calendar Effects and Real Estate Securities

E. Hui (), J. Wright () and S. Yam ()

The Journal of Real Estate Finance and Economics, 2014, vol. 49, issue 1, 115 pages

Abstract: This paper examines twenty-seven international real estate securities indices from twenty countries and regions for calendar effects. Two methodologies are employed. The first is the standard approach which detects statistically significant anomalies via linear regression of returns. The second, new to the real estate securities literature, tests for economically significant effects through two tests specifically designed to compare multiple forecasts to a benchmark, White’s (Econometrica, 1097–1126, 2000 ) Reality Check and Hansen’s (J Bus Econ Stat 23(4):365–380, 2005 ) Superior Predictive Ability test. The standard approach tells us that while some effects have disappeared over time, statistically significant calendar anomalies persist. However, the tests of White and Hansen strongly suggest that they are not economically significant and thus should not be the basis of an investor’s trading strategy nor be considered as a challenge to market efficiency, as has been claimed previously. Copyright Springer Science+Business Media New York 2014

Keywords: Calendar effects; Real estate securities index; Reality Check test; Superior Predictive Ability test; Market efficiency (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11146-012-9398-4 (text/html)
Access to full text is restricted to subscribers.

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:kap:jrefec:v:49:y:2014:i:1:p:91-115

Ordering information: This journal article can be ordered from
http://www.springer. ... ce/journal/11146/PS2

DOI: 10.1007/s11146-012-9398-4

Access Statistics for this article

The Journal of Real Estate Finance and Economics is currently edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans

More articles in The Journal of Real Estate Finance and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().