Calendar Anomalies: Do REITs Behave Like Stocks?

International Real Estate Review, Vol. 18, No. 1, pp. 177-215, 2015

40 Pages Posted: 23 Dec 2015

See all articles by Mariya Letdin

Mariya Letdin

Florida State University

Su Han Chan

Johns Hopkins University - Carey Business School

Mehmet Akbulut

California State University, Fullerton - Department of Finance

Date Written: January 1, 2015

Abstract

This study addresses the unsettled question of whether REITs behave similarly to stocks with respect to calendar anomalies. We determine the magnitudes of several types of calendar anomalies for both the REIT and stock market index returns in 22 countries between 1990 and 2012. In general, our evidence shows that the calendar effects are not universal across countries and that REITs behave differently from their stock counterparts in a number of countries. The difference in behavior is especially evident around the turn of the month where REITs exhibit significantly higher returns than general stocks in the global sample as well as in 7 of the 22 countries examined. This result may be possibly linked to the higher level of institutional ownership in REITs than stocks in their corresponding market during the period examined.

Keywords: Real Estate Investment Trusts, Seasonality, Calendar Anomalies

Suggested Citation

Letdin, Mariya and Chan, Su Han and Akbulut, Mehmet E., Calendar Anomalies: Do REITs Behave Like Stocks? (January 1, 2015). International Real Estate Review, Vol. 18, No. 1, pp. 177-215, 2015. Available at SSRN: https://ssrn.com/abstract=2707777

Mariya Letdin (Contact Author)

Florida State University ( email )

College of Business
Tallahassee, FL 32306
United States

Su Han Chan

Johns Hopkins University - Carey Business School ( email )

100 International Drive
Baltimore, MD 21202
United States

Mehmet E. Akbulut

California State University, Fullerton - Department of Finance ( email )

PO Box 34080
Fullerton, CA 92834-9480
United States
657-278-8259 (Phone)

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