The Friday Effect in European Securitized Real Estate Index Returns

The Friday Effect in European Securitized Real Estate Index Returns This study extends research on the day-of-the-week effect towards European real estate indices. We examine this anomaly for several European securitized real estate index returns between 1990 and 2003. Although the countries under analysis have unique country-specific patterns, we find that eight out of eleven European countries exhibit abnormally high Friday returns. Moreover, two different Europe indices also exhibit the Friday anomaly. The anomaly is robust with respect to extreme observations, alternative specifications and several well-known calendar effects. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Real Estate Finance and Economics Springer Journals

The Friday Effect in European Securitized Real Estate Index Returns

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2006 by Springer Science + Business Media, LLC
Subject
Economics; Regional/Spatial Science; Financial Services
ISSN
0895-5638
eISSN
1573-045X
D.O.I.
10.1007/s11146-006-8273-6
Publisher site
See Article on Publisher Site

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