Anomalies in the European REITs Market [electronic resource] : Evidence from Calendar Effects /
Mattarocci, G.author.
This book analyses calendar anomalies in the real estate industry with a focus on the European market. It considers annual, monthly and weekly calendar anomalies looking at a representative sample of European REITs and highlights the main differences amongst the countries.
Description based upon print version of record.
Cover; Title; Copyright; Dedication; Contents; List of Illustrations; Foreword; Acknowledgments; Introduction; 1 Real Estate Investment Trusts; 1.1 Introduction; 1.2 REIT definition and types; 1.3 Legal status and capital requirements; 1.4 Asset and liability constraints; 1.5 Main differences in comparison to other indirect real estate investments; 1.6 Conclusion; 2 The European REIT industry; 2.1 Introduction; 2.2 Market development; 2.3 Asset allocation; 2.4 Performance analysis; 2.5 Conclusion; 3 The Day of the Week Effect; 3.1 Introduction; 3.2 The day of the week - or weekend - effect
3.3 Determinants of the weekend effect3.3.1 Information theory; 3.3.2 Settlement procedure; 3.3.3 Speculative trading; 3.3.4 Investor behavior; 3.4 Types of securities and the day of the week effect; 3.4.1 Equity; 3.4.2 Fixed income; 3.4.3 Asset management; 3.4.4 Other financial instruments; 3.5 Investment strategies; 3.6 Conclusion; 4 The Role of the Weekend Effect in European REITs; 4.1 Introduction; 4.2 Sample; 4.3 Methodology; 4.4 Results; 4.5 Conclusion; 5 Monthly Calendar Anomalies; 5.1 Introduction; 5.2 Turn of the month; 5.3 Time of the month; 5.4 The holiday effect; 5.5 Friday 13th
5.6 Conclusion6 The Impact of the Turn of the Month on European REIT Markets; 6.1 Introduction; 6.2 Sample; 6.3 Methodology; 6.4 Results; 6.5 Conclusion; 7 The Time of the Month Effect for European REIT Investors; 7.1 Introduction; 7.2 Sample; 7.3 Methodology; 7.4 Results; 7.5 Conclusion; 8 The Holiday Effect and REITs in Europe; 8.1 Introduction; 8.2 Sample; 8.3 Methodology; 8.4 Results; 8.5 Conclusion; 9 The Friday 13th or Friday 17th Effect for European REIT Investors; 9.1 Introduction; 9.2 Sample; 9.3 Methodology; 9.4 Results; 9.5 Conclusion; 10 Yearly Calendar Anomalies
10.1 Introduction10.2 The January effect; 10.2.1 Definition; 10.2.2 Causes and explanations; 10.2.3 Investment strategy; 10.3 The Halloween effect; 10.3.1 Definition; 10.3.2 Causes and explanations; 10.3.3 Investment strategy; 10.4 Conclusion; 11 The January Effect in European REITs; 11.1 Introduction; 11.2 Sample; 11.3 Methodology; 11.4 Results; 11.5 Conclusion; 12 Is there a Halloween Effect in the European REITs Market?; 12.1 Introduction; 12.2 Sample; 12.3 Methodology; 12.4 Results; 12.5 Conclusion; Conclusion; Appendix; Notes; References; Index
Includes bibliographical references and index.
This book analyses calendar anomalies in the real estate industry with a focus on the European market. It considers annual, monthly and weekly calendar anomalies looking at a representative sample of European REITs and highlights the main differences amongst the countries.
Investment banking.
Securities.
Real estate management.
Investments and Securities.
Real Estate Management.