DETECTING SEASONAL ANOMALIES IN THE PACIFIC REGION REIT MARKETS

Vikash Ramiah ； Braam Lowies ； Jeremy Gabe ； Xiaoming Xu ； Imad Moosa

《Advances in Investment Analysis and Portfolio Management》 8期 (2017/05) Pp. 213-238

https://doi.org/10.6291/AIAPM.2017.08.09

摘要

A seasonal anomaly is a market anomaly whereby investors tend to earn higher abnormal returns on certain days of the week or months of the year. For instance, unusually high abnormal returns are observed in January (the January effect) and negative abnormal returns are discerned on Mondays (the Monday effect). However these effects have been proven to be market specific as some markets display a July effect. This paper focusses on the presence of the Monday effect and January effect concerning daily and monthly price returns across real estate investment trusts (REITs) for selected Pacific region countries. In addition to the Monday effect and January effect, we consider the holiday effect and the effects of bull/bear market. Furthermore we investigate the performance of REITs around the global financial crisis and under different market conditions. The results show that there are no major and economically significant seasonal anomalies, implying that investors can enter and exit at any point in time when it comes to seasonal variation. Furthermore we document a negative reaction to the global financial crises and a resilient real estate investment trust market during a bullish market.

關鍵字

Real Estate ； Seasonal Anomalies ； Market Efficiency ； Market Sentiment ； Global Financial Crisis

參考文獻

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