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Paper eres2015_94:
UK REITs Don't Like Mondays

id eres2015_94
authors Jadevicius, Arvydas; Stephen Lee
year 2015
title UK REITs Don't Like Mondays
source 22nd Annual European Real Estate Society Conference in Istanbul, Turkey
summary The research examines whether REITs returns on the different days of the week differ from each other. It uses EPRA/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 (KW) tests and dummy-variable regression to test the hypothesis. In addition to that, the study introduces dummies for outliers to control for observations that are distant from other data-points. The overall findings provide evidence that return anomalies exist in the UK REITs. Investors can therefore gain superior returns in UK REITs by recognising the day-of-the-week effect.
keywords Anomaly, Calendar, REITs, Returns, UK
series ERES:conference
type paper session
email arvydas.jadevicius@rau.ac.uk
content file.pptx (6,564,502 bytes)
discussion No discussions. Post discussion ...
ratings
session Real Estate Finance & Investment
last changed 2015/07/08 18:06
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