Compton, William S.; Johnson, Don T.; Kunkel, Robert A. - In: Managerial Finance 32 (2006), pp. 969-980
Purpose – This study seeks to examine the market returns of five domestic real estate investment trust (REIT) indices to determine whether they exhibit a turn-of-the-month (TOM) effect. Design/methodology/approach -A test is carried out for the TOM effect by employing a battery of parametric...