Anomalies in the european REITs market : evidence from calendar effects / Gianluca Mattarocci.

Format:

Book

Author/Creator:

Mattarocci, G. (Gianluca), 1978-

Series:

Palgrave Macmillan studies in banking and financial institutions

Language:

English

Subjects (All):

Real estate investment trusts--Europe.

Real estate investment trusts.

Europe.

Physical Description:

xiv, 196 pages : illustrations ; 23 cm.

Place of Publication:

Basingstoke : Palgrave macmillan, 2014.

Basingstoke Palgrave Macmillan, 2014.

Summary:

Calendar anomalies are recursive trends in the price of securities, and their relevance is affected by the characteristics of the market in which the financial instrument are traded. Calendar anomalies attract the attention of practitioners and academics because they open up the possibility of predicting, at least in part, the dynamics of financial markets and security prices. The existence of periods in the year that demonstrate particularly strong or weak performance challenges the hypothesis of market efficiency, because not all the relevant information is reflected in the market price and the simple analysis of historical prices allows investment strategies to achieve abnormal returns. The relevance of calendar anomalies depends on the characteristics of the market in which the security is traded. Real estate markets cannot be considered perfect and the degrees of efficiency and liquidity highlights the opportunities for, and the importance of, analysing the presence and role of calendar effects. This book analyses calendar anomalies in the real estate industry with a focus on the European market. It considers annual, monthly, and weekly calendar anomalies looking at a representative sample of European REITs and highlights the main differences amongst the countries. The author also describes buy and hold strategies, as corrected for the day of the week effect, the turn of the month effect, the holiday effect, the January effect, and other relevant calendar anomalies. Anomalies in the European REITs Market is an ideal resource for academics and master or PhD students specializing in asset management and real estate. Book jacket.

Contents:

Machine generated contents note: 1.Real Estate Investment Trusts

1.1.Introduction

1.2.REIT definition and types

1.3.Legal status and capital requirements

1.4.Asset and liability constraints

1.5.Main differences in comparison to other indirect real estate investments

1.6.Conclusion

2.The European REIT industry

2.1.Introduction

2.2.Market development

2.3.Asset allocation

2.4.Performance analysis

2.5.Conclusion

3.The Day of the Week Effect

3.1.Introduction

3.2.The day of the week

or weekend

effect

3.3.Determinants of the weekend effect

3.3.1.Information theory

3.3.2.Settlement procedure

3.3.3.Speculative trading

3.3.4.Investor behavior

3.4.Types of securities and the day of the week effect

3.4.1.Equity

3.4.2.Fixed income

3.4.3.Asset management

3.4.4.Other financial instruments

3.5.Investment strategies

3.6.Conclusion

4.The Role of the Weekend Effect in European REITs

4.1.Introduction

Contents note continued: 4.2.Sample

4.3.Methodology

4.4.Results

4.5.Conclusion

5.Monthly Calendar Anomalies

5.1.Introduction

5.2.Turn of the month

5.3.Time of the month

5.4.The holiday effect

5.5.Friday 13th

5.6.Conclusion

6.The Impact of the Turn of the Month on European REIT Markets

6.1.Introduction

6.2.Sample

6.3.Methodology

6.4.Results

6.5.Conclusion

7.The Time of the Month Effect for European REIT Investors

7.1.Introduction

7.2.Sample

7.3.Methodology

7.4.Results

7.5.Conclusion

8.The Holiday Effect and REITs in Europe

8.1.Introduction

8.2.Sample

8.3.Methodology

8.4.Results

8.5.Conclusion

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

9.1.Introduction

9.2.Sample

9.3.Methodology

9.4.Results

9.5.Conclusion

10.Yearly Calendar Anomalies

10.1.Introduction

10.2.The January effect

10.2.1.Definition

10.2.2.Causes and explanations

Contents note continued: 10.2.3.Investment strategy

10.3.The Halloween effect

10.3.1.Definition

10.3.2.Causes and explanations

10.3.3.Investment strategy

10.4.Conclusion

11.The January Effect in European REITs

11.1.Introduction

11.2.Sample

11.3.Methodology

11.4.Results

11.5.Conclusion

12.Is there a Halloween Effect in the European REITs Market?

12.1.Introduction

12.2.Sample

12.3.Methodology

12.4.Results

12.5.Conclusion.

Notes:

Includes bibliographical references (pages 181-194) and index.

ISBN:

1137390913

9781137390912

OCLC:

890993182