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Is there a Halloween Effect in the European REITs Market?

  • Gianluca Mattarocci
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

Abstract

The seasonality of REITs is frequently discussed in the literature and empirical evidence indicates that the REIT market cannot ignore the existence of calendar anomalies (Connors, Jackman, Lamb, and Rosenberg, 2002).

Keywords

Abnormal Return Risk Premium Investment Strategy Average Return Pattern Dependence 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Gianluca Mattarocci 2014

Authors and Affiliations

  • Gianluca Mattarocci
    • 1
  1. 1.University of Rome Tor VergataItaly

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