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

By G. Mattarocci

ISBN-10: 1137390921

ISBN-13: 9781137390929

ISBN-10: 1161161171

ISBN-13: 9781161161175

ISBN-10: 1349482811

ISBN-13: 9781349482818

This e-book analyses calendar anomalies within the genuine property with a spotlight at the eu industry. It considers annual, per month and weekly calendar anomalies a consultant pattern of eu REITs and highlights the most ameliorations among the international locations.

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Anomalies in the European REITs Market: Evidence from - download pdf or read online

This e-book analyses calendar anomalies within the genuine property with a spotlight at the ecu industry. It considers annual, per month and weekly calendar anomalies taking a look at a consultant pattern of eu REITs and highlights the most modifications among the nations.

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

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In an expansion cycle, the day of the week effect is clear and minimum (negative) returns are achieved on Monday, while positive and significant returns are available at the end of the week (Friday). In a contraction scenario, however, there is a significant decrease in returns on weekdays and no clear difference between performance levels at the beginning and end of the week (Liano and Gup, 1989). , Sias and Starks, 1995). If the weekend effect is well known, investors can use this recurrent trend to construct a simple low-risk strategy in which they sell their portfolios on Friday and re-buy them in the first hours of Monday.

1 Introduction The return distribution of any security does not necessarily have to be equal for all the days of the week and the assumption of the absence of any recurrent trend on some days of the week is only a simplified statistical assumption that is not required, even in a market equilibrium scenario (Gibbons and Hess, 1981). The literature evaluates weekly calendar anomalies, comparing the performance of different market indexes and/or different securities with random behavior to determine any abnormal recurrent trends in some days of the week.

A. a. a. a. a. 90% 205 Note: MV represents the sum of the market value of the biggest REITs available in the geographical area, at the end of the year. Source: Scenari Immobiliari data processed by the author. 7). The European market is, on average, highly concentrated because the ten largest REITs (out of more than 160 REITs) represent around 50 percent of the market. , the United Kingdom and Belgium), where, on average, these REITs represent around the 90 percent of the overall market value. 3 Asset allocation In all European countries, to achieve REIT status the investment portfolio has to consist (almost exclusively) of real estate assets (incomeproducing or development projects) (Niskanen and Falkenbach, 2010).

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Anomalies in the European REITs Market: Evidence from Calendar Effects by G. Mattarocci


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