Calendar Effects and Real Estate Securities

UK REITs don’t like Mondays

“…Harding et al (2005) also estimated positive (although insignificant) average returns on Monday, implying that there was little support for the accepted perception that REITs returns on Monday are lower than those during the rest of the week. Hui et al (2014), as noted above, rejected calendar effects.…”

“…There was 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. Hui et al (2014) examined 27 international real estate securities indices from twenty countries and regions for calendar effects. Two methodologies were employed.…”

New Tests of Calendar Effects on Equity and Securitized Real Estate Markets

“…Yam, Yam, Yung, and Zhou (2009, 2012a, 2012b resolve the same problem in the binomial tree setting and generalize the Shiryaev-Zhou index over the corresponding framework. Hui et al (2014a) derive a trading strategy from the Shiryaev-Zhou index and apply it on four western securitized real estate indices and six Asian securitized real estate indices respectively. Both of them find that their strategy outperforms "buy-and-hold" in general.…”

“…Both of them find that their strategy outperforms "buy-and-hold" in general. The Shiryaev-Zhou index is described by the following formula (Yam et al, 2009(Yam et al, , 2012a(Yam et al, , 2012bHui et al, 2014a;Hui & Chan, 2018c):…”

“…Different methods may lead to different results. For example, Hui et al (2014a) examine calendar effects of 27 securitized real estate indices from 20 countries. Applying linear regression, statistically significant calendar anomalies persist.…”