Previous research on real estate investment trusts (REITs) assumes that their dividend policies are determined solely by tax regulations. We observe, however, that REITs often pay out more dividends than are required by tax rules. This paper examines the dividend policies of REITs by drawing inferences from agency-cost theory and tests for the determinants of REIT dividend payout ratios. The study also considers whether the stock market responds differently to the dividend announcement effects of equity and mortgage REITs based on asymmetric information. Our results support agency-cost explanations for dividend policy and suggest a differential announcement effect. Copyright American Real Estate and Urban Economics Association.

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It is well documented that expected stock returns vary with the day-of-the-week (the Monday or weekend effect). In this article we show that the well-known Monday effect occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In addition, the mean Monday return of the first three weeks of the month is not significantly different from zero. This result holds for most of the subperiods during the 1962-1993 sampling period and for various stock return indexes. The monthly effect reported by Ariel (1987) and Lakonishok and Smidt (1988) cannot fully explain this phenomenon. ONE OF THE MOST PUZZLING empirical findings reported in finance isthe significantly negative average Monday stock return. After French (1980) documented the unusual stock returns over weekends, numerous studies confirmed the Monday (or weekend) effect using various time periods and different stock return indexes. This anomalous Monday return pattern exists not only in the U. S. stock market, but also in foreign stock markets (see, for example, Jaffe et al. (1989)) and across different types of securities (see, for example, Flannery and Protopapadakis (1988)).Numerous explanations have been developed to rationalize the puzzling discovery of persistent negative daily returns. Lakonishok and Levi (1982) attribute the effect to the delay between trading and settlements in stocks and in clearing checks. However, they also report that only about 17 percent of the abnormally low Monday returns can be explained by the settlement period. Keim and Stambaugh (1984) report that neither measurement-error nor specialist-related explanations can explain the Monday effect. Flannery and Protopapadakis (1988) also suggest that institutional aspects of the stock market cannot explain the Monday effect.Lakonishok and Maberly (1990) document that individuals tend to increase trading activity (especially sell transactions) on Monday, which they believe might explain part of the weekend effect. Kamara (1995) provides evidence that individual trading is an important cause of the Monday seasonal by noting that the magnitude of the Monday effect for the S&P 500 declined significantly over the 1962-1993 period, a period of increased institutional trading activity. We thank an anonymous referee and the editor, who provided specific comments that greatly improved the article. The usual disclaimer applies. 2172The Journal of Finance However, Sias and Starks (1995) report that the day-of-the-week patterns in returns and volumes are more pronounced in securities in which institutional investors play a greater role.Rogalski (1984), among others, documents that the average negative Monday return occurs during the nontrading period from Friday's close to Monday's opening (the weekend effect). Along this line of thought, Damodaran (1989) shows that firms tend to report bad news on Fridays and suggests that the delay of announcements of bad news might cause the negative Monday effect. However, he also reports that the delay of announcements of bad news on Friday ...

We investigate the stock market reaction to 447 announcements of business relocation decisions in the 1978-1990 period. We find that the stock market reaction to such decisions is tied to the motive for the relocation and the implied prospects for the firm, with the type of facility being relocated playing an insignificant role. Our finding reconciles several results in the literature concemmg the stock market reaction to announcements of capital investment decisions.

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