||UK REITs Don't Like Mondays
||Jadevicius, Arvydas; Stephen Lee
||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.
|Year of publication:
||Anomaly, Calendar, REITs, Returns, UK
Jadevicius, Arvydas; Stephen Lee (2015).
UK REITs Don't Like Mondays. 22nd Annual European Real Estate Society Conference in Istanbul, Turkey,