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Systematic Equity Return Patterns in Listed European Property Companies

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Author Info

  • Fahad Almudhaf

    ()
    (Kuwait University)

  • J. Andrew Hansz

    ()
    (California State University Fresno)

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    Abstract

    This study investigates systematic monthly return regularities in the listed equity returns of twelve European property companies.? Significant monthly effects exist in all sampled countries with Germany as the single exception. Furthermore, the findings provide evidence of abnormally high December returns, or a December effect, in four international indices (FTSE EPRA/NAREIT international Europe, Euro-zone, Global, and North America) and five European countries (Finland, France, Netherlands, Norway, and the United Kingdom). With the exception of Switzerland, the well-documented January effect is absent from all European property company equity returns.

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    Bibliographic Info

    Article provided by Asian Real Estate Society in its journal International Real Estate Review.

    Volume (Year): 14 (2011)
    Issue (Month): 1 ()
    Pages: 61-84

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    Handle: RePEc:ire:issued:v:14:n:01:2011:p:61-84

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    Postal: Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
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    Web page: http://www.asres.org/

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    Postal: Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
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    Web: http://www.asres.org/

    Related research

    Keywords: Calendar anomalies; Seasonality; January effect; December effect; International real estate; Public property markets;

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    1. Su Han Chan & Wai-Kin Leung & Ko Wang, 2005. "Changes in REIT Structure and Stock Performance: Evidence from the Monday Stock Anomaly," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(1), pages 89-120, 03.
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