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Do lunar phases affect US REIT returns?

ABSTRACT This study is the first to document the existence of a lunar cycle effect in the REIT market. This effect is observed only when REITs became more difficult to value following the structural break in the early 1990s. The pattern indicates that the valuation uncertainty explanation of Dichev and Janes (2003) dominates the investor constituent explanation of Yuan, Zheng and Zhu (2006) in terms of the observed REIT lunar effect. This study also serves as the first calendar seasonality evidence that supports the recent hypothesis within behavioural finance that behavioural biases are stronger when assets are more difficult to value (Daniel, Hirshleifer and Subrahmanyam, 1998; Daniel, Hirshleifer and Subrahmanyam, 2001).