Calendar anomalies in the stock returns of real estate investment trusts

• Published in: Briefings in real estate finance 2002-06, Vol.2 (1), p.61-71
• Main Authors: Connors, David N., Jackman, Matthew L., Lamb, Reinhold P., Rosenberg, Sidney B.
• Format: Article
• Language: English
• Subjects: Behavior; Calendars; Capital losses; Capital markets; Differences; Efficient markets; Holidays & special occasions; Hypotheses; Investments; January effect; Mathematical models; Multiple dwellings; Prices; Rates of return; REITs; Securities markets; Stock exchanges; stock market anomaly; Studies
• ISSN: 1473-1894; 1555-0990
• DOI: 10.1002/bref.53

Recurring behaviours of broad market stock returns around various calendar dates have been widely documented in the finance literature. Some studies have exposed similar performances in subsectors of the market. This paper considers such anomalous return behaviour in REITs from 1994–99. Rather than finding January and Monday effects, like are present in the broad market, we report on December and Friday effects in the REIT market. December returns are higher than those experienced in other months. Friday produces the highest returns during the week and Monday returns are positive and not significantly different from those of Tuesday to Thursday. Consistent with other research, we find support for a holiday effect and a turn‐of‐the‐month effect. Most of the findings hold across industry subsamples within the REIT market. Copyright © 2002 Henry Stewart Publications