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The Impact of the Turn of the Month on European REIT Markets

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

Abstract

Normally, positive performance achieved in a given month is focused on the first days of the month and calendar anomalies are more relevant for smaller REITs (Redman, Manakyan, and Liano, 1997). The differences in returns at the turn of the month and during the rest of the month are driven more by the capital yield than the dividend yield. Even if REIT dividends are frequently paid outside the turn of the month period, capital appreciation is mostly related to these few days of the month (Hardin, Liano, and Huang, 2005).

Keywords

Time Horizon Abnormal Return Positive Performance Average Return Event Window 
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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