Skip to main content

Calendar Effects and Real Estate Securities

Abstract

This paper examines twenty-seven international real estate securities indices from twenty countries and regions for calendar effects. Two methodologies are employed. The first is the standard approach which detects statistically significant anomalies via linear regression of returns. The second, new to the real estate securities literature, tests for economically significant effects through two tests specifically designed to compare multiple forecasts to a benchmark, White’s (Econometrica, 1097–1126, 2000) Reality Check and Hansen’s (J Bus Econ Stat 23(4):365–380, 2005) Superior Predictive Ability test. The standard approach tells us that while some effects have disappeared over time, statistically significant calendar anomalies persist. However, the tests of White and Hansen strongly suggest that they are not economically significant and thus should not be the basis of an investor’s trading strategy nor be considered as a challenge to market efficiency, as has been claimed previously.

This is a preview of subscription content, access via your institution.

Notes

  1. 1.

    Serrano and Hoesli (2009) note that “The GPR General Quoted Index is a sub-index of the GPR General Index in which the bank funds are excluded.” According to the GPR website, their General Quoted Index is updated monthly.

  2. 2.

    The correlations of the 69 GPR Indices which met our requirements for minimum number of observations are available from the authors upon request.

References

  1. Almudhaf, F., & Hansz, J. (2011). Systematic equity return patterns in listed European property companies. International Real Estate Review, 14(1), 61–84.

    Google Scholar 

  2. Brounen, D., & Ben-Hamo, Y. (2009). Calendar anomalies: the case of international property shares. The Journal of Real Estate Finance and Economics, 38(2), 115–136.

    Article  Google Scholar 

  3. Chan, S., Leung, W., Wang, K. (2005). Changes in REIT structure and stock performance: evidence from the monday stock anomaly. Real Estate Economics, 33(1), 89–120.

    Article  Google Scholar 

  4. Colwell, P., & Park, H. (1990). Seasonality and size effects: the case of real-estate-related investment. The Journal of Real Estate Finance and Economics, 3(3), 251–259.

    Article  Google Scholar 

  5. Connors, D., Jackman, M., Lamb, R., Rosenberg, S. (2002). Calendar anomalies in the stock returns of real estate investment trusts. Briefings in Real Estate Finance, 2(1), 61–71.

    Article  Google Scholar 

  6. Fama, E. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25(2), 383–417.

    Article  Google Scholar 

  7. Fama, E. (1991). Efficient capital markets: II. Journal of Finance, 46(5), 1575–1617.

    Article  Google Scholar 

  8. Friday, H., & Higgins, E. (2000). The day of the week effect in real estate investment trusts. Journal of Real Estate Portfolio Management, 6(3), 273–282.

    Google Scholar 

  9. Friday, H., & Peterson, D. (1997). January return seasonality in real estate investment trusts: information vs. tax-loss selling effects. Journal of Financial Research, 20(1), 33–51.

    Google Scholar 

  10. Hansen, P. (2005). A test for superior predictive ability. Journal of Business & Economic Statistics, 23(4), 365–380.

    Article  Google Scholar 

  11. Hardin III, W., Liano, K., Huang, G. (2005). Real estate investment trusts and calendar anomalies: revisited. International Real Estate Review, 8(1), 83–94.

    Google Scholar 

  12. Jensen, M. (1978). Some anomalous evidence regarding market efficiency. Journal of Financial Economics, 6(2/3), 95–101.

    Article  Google Scholar 

  13. Lee, M., & Lee, M. (2003). Institutional involvement and the REIT January effect over time. Journal of Property Investment & Finance, 21(6), 435–449.

    Article  Google Scholar 

  14. Lenkkeri, V., Marquering, W., Strunkmann-Meister, B. (2006). The Friday effect in European securitized real estate index returns. The Journal of Real Estate Finance and Economics, 33(1), 31–50.

    Article  Google Scholar 

  15. Redman, A., Manakyan, H., Liano, K. (1997). Real estate investment trusts and calendar anomalies. Journal of Real Estate Research, 14(1), 19–28.

    Google Scholar 

  16. Serrano, C., & Hoesli, M. (2009). Global securitized real estate benchmarks and performance. Journal of Real Estate Portfolio Management, 15(1), 1–19.

    Google Scholar 

  17. Sullivan, R., Timmermann, A., White, H. (1999). Data-snooping, technical trading rule performance, and the bootstrap. The Journal of Finance, 54(5), 1647–1691.

    Article  Google Scholar 

  18. Sullivan, R., Timmermann, A., White, H. (2001). Dangers of data mining: the case of calendar effects in stock returns. Journal of Econometrics, 105(1), 249–286.

    Article  Google Scholar 

  19. Tsay, R. (2005). Analysis of financial time series (Vol. 543). New York: Wiley-Interscience.

    Book  Google Scholar 

  20. White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817–838.

    Article  Google Scholar 

  21. White, H. (2000). A reality check for data snooping. Econometrica, 68(5), 1097–1126.

    Article  Google Scholar 

  22. Wiley, J., & Zumpano, L. (2009). Institutional investment and the turn-of-the-month effect: evidence from reits. The Journal of Real Estate Finance and Economics, 39(2), 180–201.

    Article  Google Scholar 

Download references

Acknowledgements

This study receives financial support from The Hong Kong Polytechnic Universitys Internal Funding (Project #: G-YH86, G-YH96, and 4-ZZC8). The second author, John Wright would like to thank the The Hong Kong Polytechnic University for their support, as much of his work for this paper was completed there. The third author, Phillip Yam, acknowledges financial support from The Hong Kong RGC GRF 502909, The Chinese University of Hong Kong Direct Grant 2010/2011 Project ID: 2060422, The Chinese University of Hong Kong Direct Grant 2011/2012 Project ID: 2060444. Phillip Yam also expresses his sincere gratitude to the hospitality of Mathematisches Forschungsinstitut Oberwolfach (MFO) in the German Black Forest during the preparation of the present work.

Author information

Affiliations

Authors

Corresponding author

Correspondence to J. A. Wright.

Rights and permissions

Reprints and Permissions

About this article

Cite this article

Hui, E.C.M., Wright, J.A. & Yam, S.C.P. Calendar Effects and Real Estate Securities. J Real Estate Finan Econ 49, 91–115 (2014). https://doi.org/10.1007/s11146-012-9398-4

Download citation

Keywords

  • Calendar effects
  • Real estate securities index
  • Reality Check test
  • Superior Predictive Ability test
  • Market efficiency