Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/36367
Title: Calendar effects and real estate securities
Authors: Hui, ECM 
Wright, JA
Yam, SCP
Keywords: Calendar effects
Real estate securities index
Reality Check test
Superior Predictive Ability test
Market efficiency
Issue Date: 2014
Publisher: Springer
Source: Journal of real estate finance and economics, 2014, v. 49, no. 1, p. 91-115 How to cite?
Journal: Journal of real estate finance and economics 
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.
URI: http://hdl.handle.net/10397/36367
ISSN: 0895-5638 (print)
1573-045X (online)
DOI: 10.1007/s11146-012-9398-4
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