The Role of the Weekend Effect in European REITs
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).
KeywordsAbnormal Return Daily Return Weighted Portfolio Weekend Effect Average Abnormal Return
Unable to display preview. Download preview PDF.