Article1997

Real Estate Investment Trusts and Calendar Anomalies

Arnold L. Redman · Herman Manakyan · Kartono Liano

54 citations0/0 files storedJournal of Real Estate Research

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stock Market Forecasting Methods

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.

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References

1980Stock returns and the weekend effect 1983Size-related anomalies and stock return seasonality 1976Capital market seasonality: The case of stock returns 1981Day of the Week Effects and Asset Returns 1987A monthly effect in stock returns 1990High Stock Returns before Holidays: Existence and Evidence on Possible Causes 1983Vas Ist Das?1990Risk and Return on Real Estate: Evidence from Equity REITs

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