Calendar Anomalies: The Case of International Property Shares

Posted: 20 Oct 2008

See all articles by Dirk Brounen

Dirk Brounen

Erasmus University Rotterdam (EUR) - Department of Financial Management; Erasmus Research Institute of Management (ERIM); Tinbergen Institute

Date Written: October 16, 2008

Abstract

In this paper we analyze the price dynamics of international property shares for the ten most prominent markets from around the world plus South-Africa. We focus on the presence of calendar effects in daily and monthly price returns and examine these effects both over time and across countries. For the daily returns we find price anomalies for Fridays and Mondays in all markets. Friday returns tend to be the highest of the week, while Mondays are weakest. We find that these patterns were most prominent during the eighties and early nineties and in the smaller markets in our sample. For the monthly returns we found little evidence for price irregularities. In most cases January was superior to most other months, but these differences lacked statistical significance. More interesting was the Sell in May effect that seemed to be present in ten out of eleven markets. Price returns during the winter season outperformed the summer months and in five countries these difference were both economically and statistically significant. Finally, we looked at firm level returns to isolate the drivers of these infamous calendar effects. The day-of-the-week effect appears to be most pronounced among small and young firms that have little or no institutional investors. Large and long-established listed real estate firms with a large portion of loyal block-holders experience no signficant price patterns during the trading week.

Keywords: real estate stocks, calendar anomaliles, sell in May effect

Suggested Citation

Brounen, Dirk, Calendar Anomalies: The Case of International Property Shares (October 16, 2008). Journal of Real Estate Finance and Economics, Vol. 38, No. 2, 2009, Available at SSRN: https://ssrn.com/abstract=1285593

Dirk Brounen (Contact Author)

Erasmus University Rotterdam (EUR) - Department of Financial Management ( email )

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Erasmus Research Institute of Management (ERIM) ( email )

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