The Role of the Weekend Effect in European REITs

Gianluca Mattarocci

Chapter 4 in Anomalies in the European REITs Market, 2014, pp 46-59 from Palgrave Macmillan

Abstract: Abstract The day of the week effect is one of most frequently studied calendar anomalies in the REIT market and predominantly focuses on the US experience. Empirical evidence demonstrates that the relevance of the calendar anomaly affects index performance and normally plays a larger role in equally weighted portfolios than in value-weighted portfolios, due to its greater relevance for small REITs (Redman, Manakyan, and Liano, 1997).

Keywords: Abnormal Return; Daily Return; Weighted Portfolio; Weekend Effect; Average Abnormal Return (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_5

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DOI: 10.1057/9781137390929_5

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