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- Title
The Influence of Seasonal Depression on Equity Returns: Further Evidence from Real Estate Investment Trusts.
- Authors
Pyles, Mark K.
- Abstract
Previous studies have identified a specific behavioral effect on stock market returns worldwide that they attribute to seasonal depression among a significant subset of investors. We reexamine this notion in a unique arena, Real Estate Investment Trusts (REITs), and find further evidence of such an influence. Specifically, we find an asymmetric return pattern throughout the fall and winter months that is similar to that previously documented in traditional equities. This result is primarily driven by the smallest REITs, however, which may reflect their similarity to traditional equities. Further, we find the influence of seasonal depression remains following the Omnibus Reconciliation Act of 1993, when a large portion of REIT investors were institutional. Our results provide further evidence of a distinct psychologically driven influence in stock market returns.
- Subjects
REAL estate investment trusts; INSTITUTIONAL investments; REAL estate syndication; SECONDARY mortgage market; MUTUAL funds; SEASONAL affective disorder
- Publication
Quarterly Journal of Finance & Accounting, 2009, Vol 48, Issue 2, p63
- ISSN
1939-8123
- Publication type
Article