Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs

Wiley, Jonathan A.; Zumpano, Leonard V.

doi:10.1007/s11146-008-9106-6

Cited by 15 publications

(10 citation statements)

References 58 publications

(54 reference statements)

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“…This is confirmed by Connors et al (2002) for the period 1994‐1999 and further confirmed by Compton et al (2006) for the period 1999‐2003. More recently, Wiley and Zumpano (2009, p. 199) conclude that the turn‐of‐the‐month effect “[…] does not appear to diminish over time” for a US REIT during the period 1980‐2004. The presence of the enhanced international turn‐of‐the‐month effect in stock indices is also well documented in the literature.…”

Section: Literature Reviewmentioning

confidence: 99%

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Calendar anomalies in REITs: international evidence

Khaled

Keef

2012

J of Property Inv & Finance

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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.

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Section: Literature Reviewmentioning

confidence: 99%

“…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 Zumpano, 2009) and the Monday effect (Friday and Higgins, 2000).…”

Section: Introductionmentioning

confidence: 99%

Calendar anomalies in REITs: international evidence

Khaled

Keef

2012

J of Property Inv & Finance

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“…In contrast, B-shares are open to 1 For earlier documented evidence of 'intra-month' or 'turn-of-the-year' effects in one or more international markets, see Ariel (1987Ariel ( , 1988, Lakonishok and Smidt (1989), Cadsby and Ratner (1992), Agrawal and Tandon (1994), Wong (1995), Hensel and Ziemba (1996) and Kunkel et al (2003). There is also evidence of such effects in the US Real Estate Investment Trust (REIT) market (Wiley and Zumpano, 2009) and American Depositary Receipt (ADR) arenas (Bouges et al, 2009). 2 Dzhabarov and Ziemba (2010) show that the US 'turn-of-the-month' effect is partially reflected in futures prices ahead of time.…”

Section: Market Background and Indices Examinedmentioning

confidence: 99%

Comparison of the ‘turn-of-the-month’ and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen

McGuinness

Harris

2011

Applied Financial Economics

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“…They relate their findings to institutional investors who increased their investments in REITs during this period. Recently, Wiley and Zumpano (2009) have shown that the turn-of-the-month anomaly for US REITs did not diminish over time during the period of 1980 to 2004.…”

Section: Systematic Equity Return Patterns 63mentioning

confidence: 99%

International Real Estate Review

Almudhaf¹,

Hansz²

2011

IRER

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This study investigates systematic monthly return regularities in the listed equity returns of twelve European property companies.? Significant monthly effects exist in all sampled countries with Germany as the single exception. Furthermore, the findings provide evidence of abnormally high December returns, or a December effect, in four international indices (FTSE EPRA/NAREIT international Europe, Euro-zone, Global, and North America) and five European countries (Finland, France, Netherlands, Norway, and the United Kingdom). With the exception of Switzerland, the well-documented January effect is absent from all European property company equity returns.

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Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs

Abstract: Institutional investment, REITs, Calendar effect, Preferred habitat, Window dressing,

Cited by 15 publications

References 58 publications

Calendar anomalies in REITs: international evidence

Calendar anomalies in REITs: international evidence

Comparison of the ‘turn-of-the-month’ and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen

International Real Estate Review

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