TY  - JOUR
AB  - The Revenue Reconciliation Act of 1993, implemented since 1 January 1994, facilitates the increase of institutional investment in the real estate investment trust (REIT) market. Utilizing this particular feature in the market, we examine the time‐series effect of institutional holdings to distinguish the tax‐loss‐selling hypothesis and the window‐dressing hypothesis for REITs. Consistent with the tax‐loss‐selling hypothesis, we have evidence that the January premiums decreased with the level of institutional involvement for REITs. Furthermore the January premiums declined significantly for equity REITs only that attracted more institutional investors than mortgage REITs. On the other hand, the January premiums did not decrease significantly for mortgage REITs. Overall the results suggest that trading strategies to profit the higher January returns may work only when institutional investors exit and leave the market.
VL  - 21
IS  - 6
SN  - 1463-578X
DO  - 10.1108/14635780310508612
UR  - https://doi.org/10.1108/14635780310508612
AU  - Lee Ming‐Long
AU  - Lee Ming‐Te
PY  - 2003
Y1  - 2003/01/01
TI  - Institutional involvement and the REIT January effect over time
T2  - Journal of Property Investment & Finance
PB  - MCB UP Ltd
SP  - 435
EP  - 449
Y2  - 2024/04/18
ER  -