Seasonality and size effects: The case of real-estate-related investment

This article documents that the well-known size-related seasonality effects exist in real-estate-related investments. The average return on REITs in January is higher than that in any other month during the year, and the abnormally high return in January tends to disappear for large REITs, both equity and mortgage REITs. The January effect for mortgage REITs appears to be larger than that for equity REITs. Some more puzzles emerge in this article concerning seasonality, including a reverse small firm effect in certain other months.