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,...

There are a lot of previous studies on calendar effects. However, most of them use traditional methods like regression. Hui et al. (2015b) incorporate Shiryaev-Zhou index with logistic regression to study the Halloween and January effects of eight securitized real estate markets, but they fixed...