Real Estate Investment Trusts and Calendar Anomalies

Arnold Redman, Herman Manakyan and Kartono Liano

Journal of Real Estate Research, 1997, vol. 14, issue 1, 19-28

Abstract: There have been numerous studies in the finance literature on the existence of calendar anomalies in common stocks and a few studies of individual anomalies in the markets for real estate investment trusts. This study provides a comprehensive examination of the existence of four calendar anomalies for REITs and common stocks from 1986 through 1993. The results show the existence of the January effect, the turn-of-the-month effect, the day-of-the-week effect, and the pre-holiday effect in REITs and an equally weighted index of stocks. REIT returns tend to be higher in January, on Friday, on turn-of-the-month trading days, and on pre-holiday trading days.

Date: 1997
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DOI: 10.1080/10835547.1997.12090886

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