Calendar anomalies in REITs: international evidence
| Pages | 375-388 |
| DOI | https://doi.org/10.1108/14635781211241770 |
| Published date | 06 July 2012 |
| Date | 06 July 2012 |
| Author | Mohammed S. Khaled,Stephen P. Keef |
| Subject Matter | Property management & built environment |
Calendar anomalies in REITs:
international evidence
Mohammed S. Khaled and Stephen P. Keef
School of Economics and Finance, Victoria University of Wellington,
Wellington, New Zealand
Abstract
Purpose – The purpose of this paper is to determine the relative magnitude of calendar anomalies in
international Real Estate Investment Trusts (REITs). The anomalies are the prior day effect, the
Monday effect, the turn-of-the-month effect and the January effect. The results are based on
14 countries. The corresponding stock index is used as the reference by which to gauge the anomalous
behaviour of each REIT.
Design/methodology/approach – There are two primary dimensions to the statistical design.
Between-country differences, based on Gross Domestic Product (GDP) and a measure of shareholder
protection, are examined using a panel model. Differences between the REITs and their stock index are
examined using a repeated measures dependent variable design.
Findings – The presence of the four calendar anomalies is apparent in the REITs and the stock
indices. There is not sufficient evidence to show that the magnitudes of the Monday, the
turn-of-the-month and the January anomalies differ between REITs and stock indices. However, there
is evidence that the bad day effect is stronger for REITs compared to stocks.
Research limitations/implications – In terms of market development, the sample of countries is
unavoidably constrained. The sample represents developed economies. The degree that these results
pertain to less developed economies has yet to be established.
Originality/value – Existing research into the influence of calendar anomalies on REITs is based on
US data. This paper examines the influence in 14 countries, including the USA, using a robust and
efficient statistical design.
Keywords REIT,International,Prior day effect, Monday effect,Turn-of-the-montheffect, Januaryeffect,
Panel data, UnitedStates of America, Real estate
Paper type Research paper
1. Introduction
A frequent question in the literature (Smith and Shulman, 1976; Ghosh et al., 1996;
Redman et al., 1997) is “Do REIT stocks perform similarly to other stocks in the market
[...]” (Chan et al., 2005, p. 118). This question has been addressed in a variety of ways.
One way, as is the case with this paper, focuses on calendar anomalies such as the
January effect (Lee and Lee, 2003), the turn-of-the-month effect (Wiley and Zumpan o,
2009) and the Monday effect (Friday and Higgins, 2000).
In terms of statistical methodology, the word “similarly” has been interpreted in a
number of ways. Some studies (Chan et al., 2005; Lee and Lee, 2003) focus solely on the
returns of REITs. They compare their results with those of stock indices reported in
the financial economics literature. Other studies examine the returns of REITs in one
regression model and the returns of stocks in a separate regression model (Connors et al.,
2002; Redman et al., 1997). Some studies employ a statistically superior design whereby
the REIT returns and the stock returns are compared in a single regression model
(Friday and Higgins, 2000).
The current issue and full text archive of this journal is available at
www.emeraldinsight.com/1463-578X.htm
Calendar
anomalies in
REITs
375
Journal of Property Investment
& Finance
Vol. 30 No. 4, 2012
pp. 375-388
qEmerald Group Publishing Limited
1463-578X
DOI 10.1108/14635781211241770
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