By G. Mattarocci

This e-book analyses calendar anomalies within the genuine property with a spotlight at the ecu industry. It considers annual, per month and weekly calendar anomalies a consultant pattern of eu REITs and highlights the most transformations among the international locations.

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Additional info for Anomalies in the European REITs Market: Evidence from Calendar Effects

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The weekend effect exists for almost all the weeks of the year, but the effect is stronger for certain weeks of the month, such as the last week (Tong, 2000). This empirical evidence is still not theoretically justified and some of the explanations provided (different sensitivities to past results and different expiration stock option dates) do not fully explain the dynamics in the main international markets (Wang, Li, and Erickson, 1997). The volatility of returns also differs among weekdays, but Mondays and Fridays show a persistent trend over time.

Italy), where the tax law was restrictive to start with. 2). 4) in the last five years is presented, to identify the specific characteristics of the European industry and of each European country. 2). 90% Source: Scenari Immobiliari data processed by the author. 2012 The European REIT Industry 21 than 10 percent). In the European market, REITs represent around 40 percent of the market and they are always less important than unlisted REITs. Regarding market share trends, REITs are not growing significantly over time.

Is the second most represented continent in the top ten REITs and only in 2010 was its role more important than that of American REITs. Just four European countries (Bulgaria, France, Turkey, and the United Kingdom) have a REIT listed in the world’s top ten in any given year, while none of the countries list one for more than two consecutive years. 12). Greece has the worst REIT performance, when considering the country-level data, while the top countries are the United Kingdom, the Netherlands, and Turkey.

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