Download Anomalies in the European REITs Market: Evidence from by G. Mattarocci PDF

By G. Mattarocci

This ebook analyses calendar anomalies within the genuine property with a spotlight at the eu marketplace. It considers annual, per 30 days and weekly calendar anomalies taking a look at a consultant pattern of ecu REITs and highlights the most changes among the international locations.

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Extra info for Anomalies in the European REITs Market: Evidence from Calendar Effects

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5) summarizes the main results and implications of the calendar anomaly for investors and trading strategies. 2 The day of the week – or weekend – effect Daily return behavior is not unrelated to of the day of the week being considered and cannot be assumed constant. Empirical longterm evidence demonstrates that returns are prevalently negative on Monday and prevalently positive at the end of the week, especially on Friday (French, 1980). The negative performance after the closing of financial markets is essentially driven by the first hours of trading on Monday, while for all other trading hours there is no statistical difference with respect to what happens on other trading days (Smirlock and Starks, 1986).

5) summarizes the main results and implications of the calendar anomaly for investors and trading strategies. 2 The day of the week – or weekend – effect Daily return behavior is not unrelated to of the day of the week being considered and cannot be assumed constant. Empirical longterm evidence demonstrates that returns are prevalently negative on Monday and prevalently positive at the end of the week, especially on Friday (French, 1980). The negative performance after the closing of financial markets is essentially driven by the first hours of trading on Monday, while for all other trading hours there is no statistical difference with respect to what happens on other trading days (Smirlock and Starks, 1986).

The abnormal return based on the Carhart (1997) model also considers the momentum premium (RPtMOM ) computed as the difference in average returns between REITs with past good and bad performances, using the median performance as a threshold for discriminating between firms. The results are presented for both the full European sample and for each European country, in order to identify the overall European trend and the specific features of each REIT market. 50 Anomalies in the European REITs Market Following the approach proposed by Bessembinder and Hertzel (1993), we evaluate the contribution of the day of the week effect to overall market performance, considering the calendar anomaly and the serial pattern dependence of the stock returns.

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