UK REITs don’t like Mondays

Jadevicius, Arvydas

doi:10.1108/jpif-03-2016-0021

Cited by 7 publications

(6 citation statements)

References 65 publications

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“…Additionally, the day-of-the-week effect was found to be significant, with coefficients for Friday, Thursday, and Monday being positively significant at the conventional level for office, diversified, and industrial REITs, respectively. This finding is consistent with previous research by Jadevicius and Lee (2017), who documented greater returns on Tuesdays than on other days of the week. To further specify the findings of this study, the coefficients for the dummies representing the days of the week were incorporated into the GARCH variance equation, as shown in Table 9.…”

Section: Incorporating the Garch Variance Model Into The Ols Equationsupporting

confidence: 93%

South African Real Estate Investment Trusts Prefer Tuesdays

Ajayi,

Gavu

2024

JRFM

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This study examines the day-of-the-week effect on the returns of different classifications of South African REITs. Ordinary least squares regression (OLS), generalized autoregressive conditional heteroskedasticity (GARCH) (1,1) (2,1), and Kruskal–Wallis (KW) tests were performed on data obtained from the IRESS Expert database from 2013 to 2021. We found statistical differences in the day-of-the-week effects for SAREITs; the best day to invest in office REITs is Friday, for diversified REITs Thursday, and for industrial REITs Friday. Generally, Wednesday was found to be the least profitable day to invest in all REIT classifications because it had the least average daily return. Tuesdays were the most profitable days for all REIT classifications, with the highest average daily return. REITs traded the most on Fridays, while REITs traded the least on Mondays. Returns were the most volatile on Monday, while volume was the least volatile on Thursday. The KW test revealed a statistically significant difference between the median returns across days of the week. Based on the above, profitability is expressed on Tuesdays in South African REITs. By recognizing the day-of-the-week effect, investors can buy and sell South African REITs more effectively. This study, apart from being the first in the context of South African REITs, provides updated evidence of the contested calendar anomaly issues.

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Section: Incorporating the Garch Variance Model Into The Ols Equationsupporting

confidence: 93%

South African Real Estate Investment Trusts Prefer Tuesdays

Ajayi,

Gavu

2024

JRFM

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“…Newell et al (2013) investigated the performance of French REITs and concluded that their risk-adjusted returns overperform the stocks over 2003–2012 and are important assets to be included in the mixed-asset portfolio in the post-global financial crisis period. Jadevicious and Lee (1996) investigated the calendar anomalies in the UK market and their results exhibited such anomaly as Hepsen (2012) concluded for the Turkish REIT market.…”

Section: Literature Reviewmentioning

confidence: 87%

Investing in gold or REIT index in Turkey: evidence from global financial crisis, 2018 Turkish currency crisis and COVID-19 crisis

Sümer

Özorhon

2020

JERER

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Purpose Under the current Coronavirus Disease 2019 (COVID-19) pandemic circumstances where the gold prices are increasing and the stocks are in free fall, this research aims to compare the returns of gold prices and Turkish real estate investment trust (T-REIT) index by covering the 2008 global financial crisis, 2018 Turkish currency crisis and 2020 COVID-19 pandemic-based economic crisis periods and examine the effects of the returns of gold and the T-REIT index on each other, a research area that has been limited in the literature. Design/methodology/approach For the empirical analysis, vector auto regression model was used, and Augmented Dickey–Fuller and Granger causality tests were also conducted. The average returns were compared with the coefficient of variation analysis. Findings The results of the study exhibited that except for the 2008 global financial crisis period, 2018 Turkish currency crisis and 2020 COVID-19 pandemic-based economic crisis, the T-REIT index performs better than gold prices, but it is a riskier instrument, and both investment instruments do not affect the returns of each other. The segmentation of both instruments recommends the fund managers including both tools for diversification of a portfolio. Research limitations/implications In Turkey, gold prices are valued based on the fluctuations of the global gold prices, as well as the Turkish Lira/US Dollar currency exchange rates. The effect of the exchange rates may be considered in future studies, and the study may be conducted based on the USD values of the T-REIT index and global gold prices. Further studies may also include the comparison between the T-REIT index returns and a set of commodities such as the Goldman Sachs Commodity Index. This study covered only the first five months of 2020 to analyze the COVID-19 pandemic-based economic crisis initial effects, and a successor study is also recommended by including more new data of the post-COVID-19 pandemic and comparing both results. Practical implications The results of the research are expected to contribute to the REIT literature and give insight to investors about their investment choices while including both investment tools in their portfolio, especially for the future conditions of the new COVID-19 pandemic-based economic crisis. Social implications The study may provide insight for individuals, especially those who are considering possible investment options in the Turkish real estate market in the post-COVID-19 pandemic crisis. Originality/value Gold and real estate have always been considered as important investment instruments. Gold is commonly accepted as a safe haven in the literature, and the REITs are considered as long-term investment instruments by many scholars. While gold prices increase in the windy periods, the returns of real estate investments have more cyclical movements based on mostly the macroeconomic conditions and its integration with stock markets, yet the real estate is a common long-term investment tool, especially because of the regular income it generates for the retirement years. By covering three crisis periods including the COVID-19 pandemic-based economic crisis effects, making research about two important investment tools would contribute to the literature, especially in which the studies in this area were very limited.

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“…The increasing popularity of REITs in many major European markets has resulted in a considerable number of empirical studies concentrated on their respective qualitative and quantitative investment characteristics. For example, in Spain (Marzuki and Newell, 2018), Germany (Newell and Marzuki, 2018), the UK (Akinsomi et al, 2018;Jadevicius and Lee, 2017;Newell and Marzuki, 2016), Belgium (Marzuki and Newell, 2019), Turkey (Erol and Tirtiroglu, 2011) and France (Newell et al, 2013 significance of REITs has attracted considerable research interest with a number of studies on Irish REITs scrutinising the crucial role of REITs in the post-GFC recovery, such as their role in stimulating the private rented sector of the Irish housing segment (Duffy et al, 2017) and as an exit mechanism to offload property assets (Mercille and Murphy, 2016). However, an empirical analysis of the investment attributes of Irish REITs is yet to be documented in the literature.…”

Section: Introductionmentioning

confidence: 99%

The development and initial performance analysis of REITs in Ireland

Marzuki

Newell

McGreal

2019

JPIF

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Purpose The inception of REITs in Ireland in 2013 presented an additional property investment opportunity to Ireland’s commercial property investment landscape. Importantly, the Irish REIT market is an institutional apparatus with an objective to rejuvenate Ireland’s commercial property market. The purpose of this paper is to provide an empirical validation of the performance of Irish REITs over the period March 2015 to February 2019 across several investment measures such as risk-adjusted returns and diversification benefits. Design/methodology/approach Using monthly total returns in local currency, the risk-adjusted performance and portfolio diversification attributes of Irish REITs are assessed. The mean-variance framework is utilised to assess the potential added-value benefits of Irish REITs in a mixed-asset portfolio. Findings Irish REITs delivered the strongest average annual return performance, lower relative volatility vs the stock market and competitive overall risk-adjusted performance. The results affirm the characteristic of Irish REITs as a total return-focussed income-driven property investment asset class. The optimal asset allocation analysis shows that Irish REITs are an important ingredient in a mixed-asset investment framework, as their allocation could be scaled effectively across the portfolio risk-return spectrum. Practical implications Irish REITs are an emerging investment opportunity for investors seeking exposure in the strongly performing property market in Ireland in the post-Global Financial Crisis period. They are also regarded as an effective alternative conduit to private investment routes (i.e. direct property and non-listed property funds), with the added advantage of being more liquid and versatile than their private property investment counterparts. Importantly, Irish REITs fulfilled the purpose for which they were originally designed. The promising initial performance observed in this paper gives a useful context to what the future might hold for Irish REITs, given the strong interest for commercial property assets in Ireland from both local and cross-border property investors. Originality/value This paper is the first empirical research aimed at providing an initial empirical performance validation of Irish REITs as an effective route to commercial property exposure in Ireland. This research enables empirically validated, more informed and practical property investment decision making regarding the strategic role of Irish REITs in a portfolio.

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UK REITs don’t like Mondays

Cited by 7 publications

References 65 publications

South African Real Estate Investment Trusts Prefer Tuesdays

South African Real Estate Investment Trusts Prefer Tuesdays

Investing in gold or REIT index in Turkey: evidence from global financial crisis, 2018 Turkish currency crisis and COVID-19 crisis

The development and initial performance analysis of REITs in Ireland

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