TY - JOUR
T1 - Calendar Effects and Real Estate Securities
AU - Hui, E. C.M.
AU - Wright, J. A.
AU - Yam, S. C.P.
N1 - Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].
PY - 2014/5
Y1 - 2014/5
N2 - 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. © 2013 Springer Science+Business Media New York.
AB - 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. © 2013 Springer Science+Business Media New York.
KW - Calendar effects
KW - Market efficiency
KW - Real estate securities index
KW - Reality Check test
KW - Superior Predictive Ability test
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U2 - 10.1007/s11146-012-9398-4
DO - 10.1007/s11146-012-9398-4
M3 - RGC 21 - Publication in refereed journal
SN - 0895-5638
VL - 49
SP - 91
EP - 115
JO - Journal of Real Estate Finance and Economics
JF - Journal of Real Estate Finance and Economics
IS - 1
ER -