IDEAS home Printed from https://ideas.repec.org/a/eme/jpifpp/jpif-03-2016-0021.html
   My bibliography  Save this article

UK REITs don’t like Mondays

Author

Listed:
  • Arvydas Jadevicius
  • Stephen Lee

Abstract

Purpose - The purpose of this paper is to examine whether Real Estate Investment Trusts (REITs) returns on the different days of the week differ from each other. Design/methodology/approach - It uses European Public Real Estate Association (EPRA)/National Association of Real Estate Investment Trusts (NAREIT) UK index daily closing values (GBP) and its two sub-indices FTSE EPRA/NAREIT UK REITs and non-REITs as dependent variables. It employs Kruskal-Wallis tests and dummy-variable regression to test the hypothesis. Findings - The overall findings provide evidence that return anomalies exist in the UK REITs. Practical implications - Thought significant, the absolute returns differences are modest for investors to gain superior returns in UK REITs. However, by recognising the day-of-the-week effect, investors can buy/sell UK REITs more effectively. Originality/value - This research brings updated evidence of the contested calendar anomalies issues in REITs.

Suggested Citation

  • Arvydas Jadevicius & Stephen Lee, 2017. "UK REITs don’t like Mondays," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(1), pages 58-74, February.
    • Handle: RePEc:eme:jpifpp:jpif-03-2016-0021
    DOI: 10.1108/JPIF-03-2016-0021
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/JPIF-03-2016-0021/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/JPIF-03-2016-0021/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/JPIF-03-2016-0021?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Calendar; REITs; UK; Anomaly; Returns; Monday;
    All these keywords.

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:jpifpp:jpif-03-2016-0021. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.