IDEAS home Printed from https://ideas.repec.org/a/taf/repmxx/v6y2000i3p273-282.html
   My bibliography  Save this article

The Day of the Week Effect in Real Estate Investment Trusts

Author

Listed:
  • H. Swint Friday
  • Eric Higgins

Abstract

Executive Summary. This study examines the behavior of real estate investment trust (REIT) returns surrounding the weekend. The results for equity REITs show that similar to equity securities, returns on Monday are positive when returns on Friday are positive and returns on Monday are negative when returns on Friday are negative. This same relationship does not hold for mortgage REITs. In addition, a significant first order autocorrelation pattern is observed for all REIT types around the weekend. The study also finds that REIT investors respond more strongly to information contained in the market's previous return rather than that contained in previous REIT returns. This implies that REIT investors may have a difficult time processing information about REIT securities and rely heavily on market information to make investment decisions.

Suggested Citation

  • H. Swint Friday & Eric Higgins, 2000. "The Day of the Week Effect in Real Estate Investment Trusts," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 6(3), pages 273-282, January.
    • Handle: RePEc:taf:repmxx:v:6:y:2000:i:3:p:273-282
    DOI: 10.1080/10835547.2000.12089611
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10835547.2000.12089611
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10835547.2000.12089611?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

    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:taf:repmxx:v:6:y:2000:i:3:p:273-282. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/repm20 .

    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.