Abstract
The time of the month effect is normally analyzed by considering the performance on days around the turn of the month, in order to identify if there is any recurrent trend in the performance achieved by the REIT industry (Compton, Johnson, and Kunkel, 2006). The assumption behind the time of the month effect that is tested is the existence of differences in returns for the days in the first and second half of the month.
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© 2014 Gianluca Mattarocci
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Mattarocci, G. (2014). The Time of the Month Effect for European REIT Investors. In: Anomalies in the European REITs Market. Palgrave Macmillan Studies in Banking and Financial Institutions. Palgrave Macmillan, London. https://doi.org/10.1057/9781137390929_8
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DOI: https://doi.org/10.1057/9781137390929_8
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-48281-8
Online ISBN: 978-1-137-39092-9
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)