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Real Estate Investment Trusts and Calendar Anomalies: Revisited

Author

Listed:
  • William G. Hardin III

    (Department of Finance and Economics, Mississippi State University, Box 9580, Mississippi State, MS 39762 -9580)

  • Kartono Liano

    (Department of Finance and Economics, Mississippi State University, Box 9580, Mississippi State, MS 39762- 9580)

  • Gow-cheng Huang

    (Department of Accounting and Finance, Alabama State University, P.O. Box 271, Montgomery, AL 36101)

Abstract

Initial research on calendar anomalies has shown their existence for real estate investment trusts (REITs) and for the general stock market. Recent studies of the general stock market, however, have shown that these anomalies have disappeared or been reversed over time. The present research updates existing REIT calendar anomaly research through the use of value-weighted and equal-weighted REIT indices and the decomposition of income and capital returns. From 1994 to 2002, the presence of calendar anomalies is sensitive to the use of REIT index type as well as the dividend yield and capital yield components. The use of the value-weighted index eliminates the appearance of calendar anomalies in REITs.

Suggested Citation

  • 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.
    • Handle: RePEc:ire:issued:v:08:n:01:2005:p:83-94
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    References listed on IDEAS

    as
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    Cited by:

    1. Julius Marcus Reis & Leonard Grebe & Dirk Schiereck & Kerstin Hennig, 2023. "Is There Still a Day-of-the-Week Effect in the Real Estate Sector?," Oblik i finansi, Institute of Accounting and Finance, issue 3, pages 84-97, September.
    2. Reis, Julius & Grebe, Leonard & Schiereck, D. & Hennig, Kerstin, 2023. "Is There Still a Day-of-the-Week Effect in the Real Estate Sector?," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 141998, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    3. 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.
    4. 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.
    5. Georgios Bampinas & Stilianos Fountas & Theodore Panagiotidis, 2015. "The day-of-the-week effect is weak: Evidence from the European Real Estate Sector," Discussion Paper Series 2015_02, Department of Economics, University of Macedonia, revised May 2015.
    6. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2018. "Testing Calendar Effects of International Equity and Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 56(1), pages 140-158, January.
    7. 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.

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    More about this item

    Keywords

    real estate investment trusts (REITs); calendar anomalies; day-of-the-week effect; January effect; turn-of-the-month effect; pre-holiday effect;
    All these keywords.

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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