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Yearly Calendar Anomalies

In: Anomalies in the European REITs Market

Author

Listed:
  • Gianluca Mattarocci

    (University of Rome Tor Vergata)

Abstract

The yearly seasonality of financial market returns exists in almost all countries and the difference between months is widely studied in the literature to provide useful guidelines for investment strategies (e.g., Gultekin and Gultekin, 1983). The empirical analysis of seasonality identified in any market is affected by the time horizon, the approach adopted for estimating monthly returns, and the procedure used to test the calendar anomaly (Alford and Guffey, 1996).

Suggested Citation

  • Gianluca Mattarocci, 2014. "Yearly Calendar Anomalies," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Anomalies in the European REITs Market, chapter 10, pages 128-138, Palgrave Macmillan.
    • Handle: RePEc:pal:pmschp:978-1-137-39092-9_11
    DOI: 10.1057/9781137390929_11
    as

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