The Friday 13th or Friday 17th Effect for European REIT Investors

Gianluca Mattarocci

Chapter 9 in Anomalies in the European REITs Market, 2014, pp 116-127 from Palgrave Macmillan

Abstract: Abstract Irrationality in the REIT industry is analyzed by constructing models for identifying abnormal price behavior that is not explainable on the basis of fundamentals, and results obtained demonstrate that the relevance of the phenomenon is affected by the type of security under consideration (Waters and Payne, 2007). The existing irrationality in REIT price behavior can be even greater than it is for other financial instruments due to the characteristics of the underlying assets (real estate); the lack of short selling opportunities; and the reluctance of REIT managers to issue new shares in response to overpricing (Jirasakuldech, Campbell, and Knight (2006). The literature also discusses the construction of a profitable investment strategy that uses information related to the periodical collapse of speculative bubbles (Anderson, Brooks, and Tsolacos, 2011).

Keywords: Abnormal Return; Daily Return; Speculative Bubble; REIT Market; Time Pattern Dependence (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-1-137-39092-9_10

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DOI: 10.1057/9781137390929_10

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