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JANUARY RETURN SEASONALITY IN REAL ESTATE INVESTMENT TRUSTS: INFORMATION VS. TAX‐LOSS SELLING EFFECTS
Author(s) -
Friday H. Swint,
Peterson David R.
Publication year - 1997
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1997.tb00235.x
Subject(s) - real estate investment trust , january effect , stock (firearms) , real estate , economics , seasonality , financial economics , common stock , business , stock market index , monetary economics , finance , stock market , geography , context (archaeology) , statistics , mathematics , archaeology
We examine the January return seasonality of real estate investment trust (REIT) common stock and underlying assets. Both stock returns and the National Assocation of Realtors median home price index exhibit January seaonals. However, the median home price index explains little of the seasonal stock returns, and a significant January effect in stock returns remains for small REITs. Thus, information effects are not the likely cause of the January effect in REITs. Further analysis indicates that tax‐loss selling is the more likely cause of the January effect.