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January Return Seasonality In Real Estate Investment Trusts: Information Vs. Tax‐Loss Selling Effects

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  • H. Swint Friday
  • David R. Peterson

Abstract

We examine the January return seasonality of real estate investment trust (REIT) common stock and underlying assets. Both stock returns and the National Assocation of Realtors median home price index exhibit January seaonals. However, the median home price index explains little of the seasonal stock returns, and a significant January effect in stock returns remains for small REITs. Thus, information effects are not the likely cause of the January effect in REITs. Further analysis indicates that tax‐loss selling is the more likely cause of the January effect.

Suggested Citation

  • H. Swint Friday & David R. Peterson, 1997. "January Return Seasonality In Real Estate Investment Trusts: Information Vs. Tax‐Loss Selling Effects," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(1), pages 33-51, March.
    • Handle: RePEc:bla:jfnres:v:20:y:1997:i:1:p:33-51
    DOI: 10.1111/j.1475-6803.1997.tb00235.x
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    Cited by:

    1. Beladi, Hamid & Chao, Chi Chur & Hu, May, 2016. "Another January effect—Evidence from stock split announcements," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 123-138.
    2. William G. Hardin III & Kartono Liano & Gow-cheng Huang, 2005. "Real Estate Investment Trusts and Calendar Anomalies: Revisited," International Real Estate Review, Global Social Science Institute, vol. 8(1), pages 83-94.
    3. E. Hui & J. Wright & S. Yam, 2014. "Calendar Effects and Real Estate Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 91-115, July.
    4. Dirk Brounen & Yair Ben-Hamo, 2009. "Calendar Anomalies: The Case of International Property Shares," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 115-136, February.
    5. Mehmet Akbulut & Su Han Chan & Mariya Letdin, 2015. "Calendar Anomalies: Do REITs Behave Like Stocks?," International Real Estate Review, Global Social Science Institute, vol. 18(2), pages 177-215.
    6. H. Swint Friday & G. Stacy Sirmans, 1998. "Board of Director Monitoring and Firm Value in REITs," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 411-427.

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