Download e-book for iPad: Anomalies in the European REITs Market: Evidence from by G. Mattarocci

By G. Mattarocci

ISBN-10: 1137390921

ISBN-13: 9781137390929

ISBN-10: 1161161171

ISBN-13: 9781161161175

ISBN-10: 1349482811

ISBN-13: 9781349482818

This booklet analyses calendar anomalies within the genuine property with a spotlight at the ecu marketplace. It considers annual, per thirty days and weekly calendar anomalies taking a look at a consultant pattern of eu REITs and highlights the most changes among the international locations.

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Download e-book for kindle: Anomalies in the European REITs Market: Evidence from by G. Mattarocci

This booklet analyses calendar anomalies within the actual property with a spotlight at the ecu industry. It considers annual, per 30 days and weekly calendar anomalies a consultant pattern of eu REITs and highlights the most alterations among the nations.

Additional info for Anomalies in the European REITs Market: Evidence from Calendar Effects

Example text

Among equity features that could affect the relevance of the weekend effect, the literature recognizes the roles of firm size, sectors, and over-the-counter negotiations. Smaller firms are normally characterized by results that show higher volatility, due to the greater uncertainty of the investment and higher variability of demand and supply (Reinganum, 1981). With a focus on Mondays and Fridays, the weekend effect is magnified for smaller firms, as evidenced by both lower performance at the beginning of the week and higher performance at the end (Kohers and Kohers, 1995).

In addition, the difference in volatility with respect to the other weekdays is normally exacerbated by greater information asymmetry (Foster and Viswanathan, 1990). Normally, the bid–ask spread is largest on Monday and smallest on Friday, signaling the higher uncertainty that market makers and dealers face on Mondays in comparison with Fridays. The large spread on Monday negatively affects the volume of trade, while the low spread registered on Friday supports the transactions (Draper and Paudyal, 2002).

REITs Netherlands Top ten MV* % Overall No. REITs Turkey Top ten MV* % Overall No. REITs UK Top ten MV* % Overall No. REITs Europe Top ten MV* % Overall No. a. a. a. a. a. a. a. a. 90% 205 Note: MV represents the sum of the market value of the biggest REITs available in the geographical area, at the end of the year. Source: Scenari Immobiliari data processed by the author. 7). The European market is, on average, highly concentrated because the ten largest REITs (out of more than 160 REITs) represent around 50 percent of the market.

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Anomalies in the European REITs Market: Evidence from Calendar Effects by G. Mattarocci


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