The Impact of the Turn of the Month on European REIT Markets
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).
KeywordsTime Horizon Abnormal Return Positive Performance Average Return Event Window
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