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Articles:
Real Estate Investment Trusts and Calendar Anomalies: Revisited Authors: William G. Hardin III, Kartono Liano and Gow-cheng Huang Start Page:83
Abstract: Initial research
on calendar anomalies has shown their existence for real estate investment
trusts (REITs) and for the general stock market. Recent studies of the
general stock market, however, have shown that these anomalies have
disappeared or been reversed over time. The present research updates
existing REIT calendar anomaly research through the use of value-weighted
and equal-weighted REIT indices and the decomposition of income and capital
returns. From 1994 to 2002, the presence of calendar anomalies is sensitive
to the use of REIT index type as well as the dividend yield and capital
yield components. The use of the value-weighted index eliminates the
appearance of calendar anomalies in REITs. |
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