Anomalies in the REIT market: evidence from the calendar effects

The calendar anomalies attract the attention of practitioners and academics because they open the possibility of predicting, at least in part, the dynamics of financial markets and the security prices. The presence of periods of the year with a particularly strong performance removes the hypothesis of market efficiency, since all information is not reflected on the prices and allows investment strategies to achieve abnormal returns. The relevance of the calendar anomalies depends on the characteristics of the market in which the security is traded. The real estate markets cannot be considered perfect and the degree of efficiency and liquidity highlights the opportunities and the importance of analysing the presence and role of the calendar effects. Indirect real estate investment is generally characterized by a low correlation with other asset types, with a lower risk profile respect to more risky investments. The role of calendar anomalies in real estate investment strategies could increase due the flight to quality that characterizes the investors’ behaviour in the last years. The book considers the role of the weekly, monthly and yearly calendar anomalies for the European REITs’ market. It takes into account a buy and hold strategy corrected for the day of the week effect, the turn of the month effect, the holiday effect, the January effect and the other relevant calendar anomalies. The purpose is to understand the consequence of these anomalies on the returns and risk of the investment, also comparing, when it is possible, the magnitudes of the results in the European real estate market with evidences provided for other real estate markets. The book contributes to the debate within the real estate finance literature, considering the possibility to obtain abnormal returns in the European REIT market, through an asset allocation strategy corrected for the calendar anomalies.