The Time of the Month Effect for European REIT Investors
The time of the month effect is normally analyzed by considering the performance on days around the turn of the month, in order to identify if there is any recurrent trend in the performance achieved by the REIT industry (Compton, Johnson, and Kunkel, 2006). The assumption behind the time of the month effect that is tested is the existence of differences in returns for the days in the first and second half of the month.
KeywordsAbnormal Return Positive Performance Investment Strategy Average Return Weighted Portfolio
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