The Time of the Month Effect for European REIT Investors

Gianluca Mattarocci

Chapter 7 in Anomalies in the European REITs Market, 2014, pp 91-101 from Palgrave Macmillan

Abstract: Abstract The time of the month effect is normally analyzed by considering the performance on days around the turn of the month, in order to identify if there is any recurrent trend in the performance achieved by the REIT industry (Compton, Johnson, and Kunkel, 2006). The assumption behind the time of the month effect that is tested is the existence of differences in returns for the days in the first and second half of the month.

Keywords: Abnormal Return; Positive Performance; Investment Strategy; Average Return; Weighted Portfolio (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_8

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DOI: 10.1057/9781137390929_8

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