G. Mattarocci's Anomalies in the European REITs Market: Evidence from PDF

By G. Mattarocci

This booklet analyses calendar anomalies within the actual property with a spotlight at the eu marketplace. It considers annual, per thirty days and weekly calendar anomalies taking a look at a consultant pattern of ecu REITs and highlights the most transformations among the nations.

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

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The current supervisory approach, adopted in countries such as the United States, tries to reduce the convenience of such investment strategies, imposing extra fees or taxes for short-term selling (Mazumder, Miller, and Varela, 2010). 4 Other financial instruments The analysis of the other financial instruments is focused on the derivative markets because derivative values are strictly related to the price dynamics of the underlying assets: and therefore, calendar anomalies identified for the latter must also be experienced by the former (Junkus, 1986).

A. a. a. a. a. 90% 205 Note: MV represents the sum of the market value of the biggest REITs available in the geographical area, at the end of the year. Source: Scenari Immobiliari data processed by the author. 7). The European market is, on average, highly concentrated because the ten largest REITs (out of more than 160 REITs) represent around 50 percent of the market. , the United Kingdom and Belgium), where, on average, these REITs represent around the 90 percent of the overall market value. 3 Asset allocation In all European countries, to achieve REIT status the investment portfolio has to consist (almost exclusively) of real estate assets (incomeproducing or development projects) (Niskanen and Falkenbach, 2010).

The abnormal return based on the Fama-French (1993) model also considers size (RPtSML ) and the ratio between the book value and the market value (RPtBVMV ) in determining the expected return. The size premium is measured as the difference of average returns between small and medium–large REITs using the median value of market capitalization as a threshold. The book value to market value premium is measured as the difference in average returns between REITs with good and bad market perspectives (a low BVMV and a high BVMV respectively), using the median value of the ratio between book value to market value as a threshold.

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