A dual‐beta asset pricing model is employed to examine the cross‐section of realized equity real estate investment trust (EREIT) returns over bull and bear markets. No significant relationship is found between EREIT returns and a constant beta. However, beta explains cross‐sectional returns when betas are allowed to vary across bull markets. This positive relationship exists for both January and non‐January months. During bear‐market months, no significant relationship is found between REIT betas and returns. But, during such months, size and book‐to‐market ratio are found to be negatively related to returns.
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.
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