Real Estate

G. Mattarocci's Anomalies in the European REITs Market: Evidence from PDF

By G. Mattarocci

ISBN-10: 1137390921

ISBN-13: 9781137390929

ISBN-10: 1161161171

ISBN-13: 9781161161175

ISBN-10: 1349482811

ISBN-13: 9781349482818

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

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Extra resources for Anomalies in the European REITs Market: Evidence from Calendar Effects

Example text

4) in the last five years is presented, to identify the specific characteristics of the European industry and of each European country. 2). 90% Source: Scenari Immobiliari data processed by the author. 2012 The European REIT Industry 21 than 10 percent). In the European market, REITs represent around 40 percent of the market and they are always less important than unlisted REITs. Regarding market share trends, REITs are not growing significantly over time. 3). In a comparison of geographical areas, the Americas and Europe represent the main markets for the REIT industry, while Africa plays only a residual role.

Greece has the worst REIT performance, when considering the country-level data, while the top countries are the United Kingdom, the Netherlands, and Turkey. The United Kingdom, on average, exhibits the highest REIT performance among the European markets, while the Netherlands is the country whose performance has increased the most over time. When comparing the performances of REITs and REOCs traded in the same country, only in France do REITs underperform (on average) in comparison with other real estate securities, while in all the other European countries REITs are the best instrument for investing in the real estate market.

1 Introduction The return distribution of any security does not necessarily have to be equal for all the days of the week and the assumption of the absence of any recurrent trend on some days of the week is only a simplified statistical assumption that is not required, even in a market equilibrium scenario (Gibbons and Hess, 1981). The literature evaluates weekly calendar anomalies, comparing the performance of different market indexes and/or different securities with random behavior to determine any abnormal recurrent trends in some days of the week.

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

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