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The Role of the Weekend Effect in European REITs

In: Anomalies in the European REITs Market

Author

Listed:
  • Gianluca Mattarocci

    (University of Rome Tor Vergata)

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).

Suggested Citation

  • Gianluca Mattarocci, 2014. "The Role of the Weekend Effect in European REITs," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Anomalies in the European REITs Market, chapter 4, pages 46-59, Palgrave Macmillan.
    • Handle: RePEc:pal:pmschp:978-1-137-39092-9_5
    DOI: 10.1057/9781137390929_5
    as

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