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• W287267064 abstract "Introduction Recently, there has been a significant body of research examining non-financial influences on market values. Behavioral finance has become a highly respected branch of the discipline, as numerous works have established a significant link between behavioral influences and financial matters. This work falls within this broad arena by examining a behavioral effect on a segment of the market, Real Estate Investment Trusts (REITS). Specifically, we examine the influence of seasonal depression on price movements of publicly traded REITs. Seasonal affective disorder (SAD) is a well-documented psychological condition that creates an increased level of overall pessimism during periods of the year where the amount of sunlight is lowest. (1) SAD has been documented (Rosenthal, 1998) to affect in excess of ten million Americans, with as many as 15 million more suffering from milder versions, commonly known as blues. There is the potential that SAD or winter blues could influence markets whose values are determined, at least in part, by activities of afflicted individuals. There are numerous examples in the psychology literature of mood influencing risk taking in clinical studies. For example, Yuen and Lee (2003) find induced depression creates significantly more conservative risk-taking behavior. The increased level of risk aversion, in turn, could decrease (increase) the demand to buy (sell) riskier market assets and replace those market positions with safer investments. The first research to directly examine this notion was Kamstra, Kramer, and Levi (2003), who find strong evidence of a SAD effect in worldwide financial markets. Specifically, they find significantly lower returns as the amount of sunlight decreases during the fall months. As the days begin to lengthen during winter months (after the winter solstice), however, they find abnormally large returns as investors begin to see the end of seasonal depression and shift resources to riskier investments. The current study is unique in that it examines a subset of the market (rather than the entire market) where a rational motive can be developed for a resource shift based upon the psychological effects of seasonal depression. Also, while the study of seasonality in REIT pricing is not new, this is the first, to our knowledge, that examines a seasonal component that is completely based upon psychological influences. REITs represent a relatively unique financial asset. Generally speaking, REIT returns are more predictable than other securities, due in no small part to the relative ease of identification and valuation of underlying assets, along with the abnormally high level of dividend payments. Because the returns (and the resulting wealth benefits) of REITs are, presumably, more predicable than other security types, it is possible the increased risk aversion brought about by SAD would drive investors away from riskier security types and to safer REITs as investment vehicles. We generally find no support for this notion, however, as returns for our sample of REIT securities experience the same asymmetric pattern as that documented by Kamstra, Kramer, and Levi (2003). We do find interesting subsample results when segmenting based upon size. Specifically, we find the primary results to be driven by only the smallest two quintiles of REITs. Kamstra, Kramer, and Levi (2008) examine the influence of SAD on the Treasury bond market and find strong evidence of an opposite seasonal effect; higher returns in fall and lower returns in winter. This is most likely attributable to the safer nature of these securities as SAD-afflicted investors shift resources away from risky equities and toward the safer debt securities during the fall, thus driving up the returns on the latter group. This pattern is again reversed in the winter as the symptoms associated with SAD begin to alleviate. Thus, our results can be potentially explained by a similar argument based upon the relative riskier nature of small REITs (similar to traditional equities) and the relative safer nature of large REITs (more like bonds). …" @default.
• W287267064 created "2016-06-24" @default.
• W287267064 creator A5057653964 @default.
• W287267064 date "2009-03-22" @default.
• W287267064 modified "2023-09-23" @default.
• W287267064 title "The Influence of Seasonal Depression on Equity Returns: Further Evidence from Real Estate Investment Trusts" @default.
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