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The Friday Effect in European Securitized Real Estate Index Returns

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  • Veera Lenkkeri
  • Wessel Marquering

    ()

  • Ben Strunkmann-Meister
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    Abstract

    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. Copyright Springer Science + Business Media, LLC 2006

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    File URL: http://hdl.handle.net/10.1007/s11146-006-8273-6
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    Bibliographic Info

    Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

    Volume (Year): 33 (2006)
    Issue (Month): 1 (August)
    Pages: 31-50

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    Handle: RePEc:kap:jrefec:v:33:y:2006:i:1:p:31-50

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    Web page: http://www.springerlink.com/link.asp?id=102945

    Related research

    Keywords: Real estate finance; International financial markets; Friday effect;

    References

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    Cited by:
    1. Chyi Lee & Simon Stevenson & Ming-Long Lee, 2014. "Futures Trading, Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures," The Journal of Real Estate Finance and Economics, Springer, vol. 48(2), pages 299-322, February.
    2. E. Hui & J. Wright & S. Yam, 2014. "Calendar Effects and Real Estate Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 91-115, July.
    3. Dirk Brounen & Yair Ben-Hamo, 2009. "Calendar Anomalies: The Case of International Property Shares," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 115-136, February.

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