Systematic Equity Return Patterns in Listed European Property Companies

Fahad Almudhaf () and J. Andrew Hansz ()
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Fahad Almudhaf: Kuwait University
J. Andrew Hansz: California State University Fresno

International Real Estate Review, 2011, vol. 14, issue 1, 61-84

Abstract: This study investigates systematic monthly return regularities in the listed equity returns of twelve European property companies.? Significant monthly effects exist in all sampled countries with Germany as the single exception. Furthermore, the findings provide evidence of abnormally high December returns, or a December effect, in four international indices (FTSE EPRA/NAREIT international Europe, Euro-zone, Global, and North America) and five European countries (Finland, France, Netherlands, Norway, and the United Kingdom). With the exception of Switzerland, the well-documented January effect is absent from all European property company equity returns.

Keywords: Calendar anomalies; Seasonality; January effect; December effect; International real estate; Public property markets (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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