Is there a Halloween Effect in the European REITs Market?

Gianluca Mattarocci

Chapter 12 in Anomalies in the European REITs Market, 2014, pp 153-165 from Palgrave Macmillan

Abstract: Abstract The seasonality of REITs is frequently discussed in the literature and empirical evidence indicates that the REIT market cannot ignore the existence of calendar anomalies (Connors, Jackman, Lamb, and Rosenberg, 2002).

Keywords: Abnormal Return; Risk Premium; Investment Strategy; Average Return; 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_13

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DOI: 10.1057/9781137390929_13

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