Calendar Anomalies and Capital Market Efficiency: Listed Property Trust Investment Strategies

Abstract

This study focuses on the efficient market hypothesis (EMH) and inspects the existence of calendar anomalies in the Australian capital markets. It is the first study that provides a comprehensive examination of calendar anomalies in the Australian capital markets, particularly in the Australian Listed Property Trust (LPT) market. The study reveals that calendar anomalies exist in both the Australian LPT market and the broader equity market, providing evidence of market inefficiency. It is also found that some of these return irregularities are diminishing and dissipating over time, suggesting the move towards a higher level of efficiency.The results from this study provide support to active investing. Moreover, this study quantifies the potential for profiting on the calendar anomalies by active investing in a practical sense and provides significant practical implications for LPT portfolio managers and investors.