The Time of the Month Effect for European REIT Investors

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


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.


Abnormal Return Positive Performance Investment Strategy Average Return Weighted Portfolio 
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.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Gianluca Mattarocci 2014

Authors and Affiliations

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

Personalised recommendations