Calendar anomalies in REITs: international evidence

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.

Evaluating the impact of economic factors on REITs' capital structure around the world

“…Even though the study of capital structure can be applied to any industry, it is interesting to examine the behaviour of real estate firms, and especially REITs (for the proliferation of this type of companies around the world see, for instance, Schacht and Wimschulte (2008); for some other interesting topics regarding REITs see, for instance in this journal, Liu et al (2012), Chang et al (2012) and Khaled and Keef (2012)). These companies are operating in an economic environment which is characterized by a special set of rules, specific at country level.…”

Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations

“…(Auer & Rottmann, 2014; Carchano & Pardo, 2015; Jacobsen & Visaltanachoti, 2009; Kayacetin & Lekpek, 2016; Ng & Wang, 2004; Raj & Kumari, 2006; Singh, 2014). Seasonal patterns have been reported in other markets and series as well—national businesses and economic series (Cleveland & Devlin, 1980), petrol prices (Mitchell, Ong, & Izan, 2000), money market (Washer, Nippani, & Wingender, 2011), real estate investment trusts (Khaled & Keef, 2012), bonds (Compton, Kunkel, & Kuhlemeyer, 2013), currency market (Kumar & Pathak, 2016) and so on.…”

UK REITs don’t like Mondays

“…Large and long-established listed real estate firms with a large portion of loyal block-holders experienced no significant price patterns during the trading week. Khaled and Keef's (2012) paper examined the magnitude of calendar anomalies in international REITs. The anomalies under the consideration were the prior day effect, the Monday effect, the turn-of-the-month effect and the January effect.…”

“…Khaled and Keef’s (2012) paper examined the magnitude of calendar anomalies in international REITs. The anomalies under the consideration were the prior day effect, the Monday effect, the turn-of-the-month effect and the January effect.…”

“…It is important therefore to test whether the results in the US REITs are consistent across the rest of the world. This has promoted a few studies in global REIT markets (see inter alia, Brounen and Ben-Hamo, 2009; Hepsen, 2012; Khaled and Keef, 2012; Hui et al , 2014; Mattarocci, 2014).…”