Abstract
The day of the week effect is one of most frequently studied calendar anomalies in the REIT market and predominantly focuses on the US experience. Empirical evidence demonstrates that the relevance of the calendar anomaly affects index performance and normally plays a larger role in equally weighted portfolios than in value-weighted portfolios, due to its greater relevance for small REITs (Redman, Manakyan, and Liano, 1997).
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© 2014 Gianluca Mattarocci
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Mattarocci, G. (2014). The Role of the Weekend Effect in European REITs. In: Anomalies in the European REITs Market. Palgrave Macmillan Studies in Banking and Financial Institutions. Palgrave Macmillan, London. https://doi.org/10.1057/9781137390929_5
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DOI: https://doi.org/10.1057/9781137390929_5
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-48281-8
Online ISBN: 978-1-137-39092-9
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)