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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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