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UK REITs don’t like Mondays

Lee, S. and Jadevicius, A. (2017). UK REITs don’t like Mondays. Journal of Property Investment & Finance, 35(1), pp. 58-74. doi: 10.1108/JPIF-03-2016-0021

Abstract

Purpose

The purpose of this paper is to examine whether Real Estate Investment Trusts (REITs) returns on the different days of the week differ from each other.

Design/methodology/approach

It uses European Public Real Estate Association (EPRA)/National Association of Real Estate Investment Trusts (NAREIT) UK index daily closing values (GBP) and its two sub-indices FTSE EPRA/NAREIT UK REITs and non-REITs as dependent variables. It employs Kruskal-Wallis tests and dummy-variable regression to test the hypothesis.

Findings

The overall findings provide evidence that return anomalies exist in the UK REITs.

Practical implications

Thought significant, the absolute returns differences are modest for investors to gain superior returns in UK REITs. However, by recognising the day-of-the-week effect, investors can buy/sell UK REITs more effectively.

Originality/value

This research brings updated evidence of the contested calendar anomalies issues in REITs.

Publication Type: Article
Additional Information: This is the author accepted manuscript of an article published by Emerald Publishing.
Publisher Keywords: Calendar, REITs, UK, Anomaly, Returns, Monday
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Finance
URI: http://openaccess.city.ac.uk/id/eprint/17159
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