Purpose
The purpose of this paper is to examine whether Real Estate Investment Trusts (REITs) returns on the different days of the week differ from each other.
Design/methodology/approach
It uses European Public Real Estate Association (EPRA)/National Association of Real Estate Investment Trusts (NAREIT) UK index daily closing values (GBP) and its two sub-indices FTSE EPRA/NAREIT UK REITs and non-REITs as dependent variables. It employs Kruskal-Wallis tests and dummy-variable regression to test the hypothesis.
Findings
The overall findings provide evidence that return anomalies exist in the UK REITs.
Practical implications
Thought significant, the absolute returns differences are modest for investors to gain superior returns in UK REITs. However, by recognising the day-of-the-week effect, investors can buy/sell UK REITs more effectively.
Originality/value
This research brings updated evidence of the contested calendar anomalies issues in REITs.
Including More Information Content to Enhance the Value at Risk Estimation for Real Estate Investment Trusts