Calendar Effects and Real Estate Securities

Chi Man Hui, J. A. Wright, S. C.P. Yam

Research output: Journal article publicationJournal articleAcademic researchpeer-review

15 Citations (Scopus)

Abstract

This paper examines twenty-seven international real estate securities indices from twenty countries and regions for calendar effects. Two methodologies are employed. The first is the standard approach which detects statistically significant anomalies via linear regression of returns. The second, new to the real estate securities literature, tests for economically significant effects through two tests specifically designed to compare multiple forecasts to a benchmark, White's (Econometrica, 1097-1126, 2000) Reality Check and Hansen's (J Bus Econ Stat 23(4):365-380, 2005) Superior Predictive Ability test. The standard approach tells us that while some effects have disappeared over time, statistically significant calendar anomalies persist. However, the tests of White and Hansen strongly suggest that they are not economically significant and thus should not be the basis of an investor's trading strategy nor be considered as a challenge to market efficiency, as has been claimed previously.
Original languageEnglish
Pages (from-to)91-115
Number of pages25
JournalJournal of Real Estate Finance and Economics
Volume49
Issue number1
DOIs
Publication statusPublished - 1 Jan 2014

Keywords

  • Calendar effects
  • Market efficiency
  • Real estate securities index
  • Reality Check test
  • Superior Predictive Ability test

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies

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