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Paper: eres2015_94
| Paper title: | UK REITs Don't Like Mondays |
| Authors: | Jadevicius, Arvydas; Stephen Lee |
| 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. |
| Type: | paper session |
| Year of publication: | 2015 |
| Keywords: | Anomaly, Calendar, REITs, Returns, UK |
| Series: | ERES:conference |
| Download paper: | /pdfs/eres2015_94.content.pptx |
| Citation: | Jadevicius, Arvydas; Stephen Lee (2015). UK REITs Don't Like Mondays. 22nd Annual European Real Estate Society Conference in Istanbul, Turkey, http://itc.scix.net/paper/eres2015_94 |
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