Anomalies in the European REITs Market (eBook)

Gianluca Mattarocci is a Lecturer in Financial Markets and Institutions in the Department of Economics and Finance at the University of Rome Tor Vergata, Italy. He holds a Masters in Asset Management and a PhD in Banking and Finance from the University of Rome Tor Vergata. He teaches corporate finance at the University of Rome Tor Vergata and LUISS Guido Carli and he is faculty member of the PhD in Management at the University of Rome Tor Vergata. His main research topics are credit risk management and real estate finance.

Cover 1
Series 1
Title 1
Copyright 1
Dedication 1
Contents 1
List of Illustrations 1
Foreword 1
Acknowledgments 1
Introduction 1
1 Real Estate Investment Trusts 1
1.1 Introduction 1
1.2 REIT definition and types 1
1.3 Legal status and capital requirements 1
1.4 Asset and liability constraints 1
1.5 Main differences in comparison to other indirect real estate investments 1
1.6 Conclusion 1
2 The European REIT industry 1
2.1 Introduction 1
2.2 Market development 1
2.3 Asset allocation 1
2.4 Performance analysis 1
2.5 Conclusion 1
3 The Day of the Week Effect 1
3.1 Introduction 1
3.2 The day of the week – or weekend – effect 1
3.3 Determinants of the weekend effect 1
3.3.1 Information theory 1
3.3.2 Settlement procedure 1
3.3.3 Speculative trading 1
3.3.4 Investor behavior 1
3.4 Types of securities and the day of the week effect 1
3.4.1 Equity 1
3.4.2 Fixed income 1
3.4.3 Asset management 1
3.4.4 Other financial instruments 1
3.5 Investment strategies 1
3.6 Conclusion 1
4 The Role of the Weekend Effect in European REITs 1
4.1 Introduction 1
4.2 Sample 1
4.3 Methodology 1
4.4 Results 1
4.5 Conclusion 1
5 Monthly Calendar Anomalies 1
5.1 Introduction 1
5.2 Turn of the month 1
5.3 Time of the month 1
5.4 The holiday effect 1
5.5 Friday 13th 1
5.6 Conclusion 1
6 The Impact of the Turn of the Month on European REIT Markets 1
6.1 Introduction 1
6.2 Sample 1
6.3 Methodology 1
6.4 Results 1
6.5 Conclusion 1
7 The Time of the Month Effect for European REIT Investors 1
7.1 Introduction 1
7.2 Sample 1
7.3 Methodology 1
7.4 Results 1
7.5 Conclusion 1
8 The Holiday Effect and REITs in Europe 1
8.1 Introduction 1
8.2 Sample 1
8.3 Methodology 1
8.4 Results 1
8.5 Conclusion 1
9 The Friday 13th or Friday 17th Effect for European REIT Investors 1
9.1 Introduction 1
9.2 Sample 1
9.3 Methodology 1
9.4 Results 1
9.5 Conclusion 1
10 Yearly Calendar Anomalies 1
10.1 Introduction 1
10.2 The January effect 1
10.2.1 Definition 1
10.2.2 Causes and explanations 1
10.2.3 Investment strategy 1
10.3 The Halloween effect 1
10.3.1 Definition 1
10.3.2 Causes and explanations 1
10.3.3 Investment strategy 1
10.4 Conclusion 1
11 The January Effect in European REITs 1
11.1 Introduction 1
11.2 Sample 1
11.3 Methodology 1
11.4 Results 1
11.5 Conclusion 1
12 Is there a Halloween Effect in the European REITs Market? 1
12.1 Introduction 1
12.2 Sample 1
12.3 Methodology 1
12.4 Results 1
12.5 Conclusion 1
Conclusion 1
Appendix 1
Notes 1
References 1
Index 1