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Calendar Anomalies: The Case of International Property Shares

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Author Info
Dirk Brounen ()
Yair Ben-Hamo
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File URL: http://hdl.handle.net/10.1007/s11146-007-9088-9
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Publisher Info
Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 38 (2009)
Issue (Month): 2 (February)
Pages: 115-136
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:jrefec:v:38:y:2009:i:2:p:115-136

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

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Related research
Keywords: Real estate stocks; Calendar anomalies; Sell in May effect;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 263-277, June. [Downloadable!]
  2. 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. [Downloadable!] (restricted)
  3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May. [Downloadable!] (restricted)
  4. Veera Lenkkeri & Wessel Marquering & Ben Strunkmann-Meister, 2006. "The Friday Effect in European Securitized Real Estate Index Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 31-50, August. [Downloadable!] (restricted)
  5. Arnold L. Redman & Herman Manakyan & Kartono Liano, 1997. "Real Estate Investment Trusts and Calendar Anomalies," Journal of Real Estate Research, American Real Estate Society, vol. 14(1), pages 19-28. [Downloadable!]
  6. Kamara, Avraham, 1997. "New Evidence on the Monday Seasonal in Stock Returns," Journal of Business, University of Chicago Press, vol. 70(1), pages 63-84, January. [Downloadable!] (restricted)
  7. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October. [Downloadable!] (restricted)
  8. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June. [Downloadable!] (restricted)
  9. Garrett, Ian & Kamstra, Mark J. & Kramer, Lisa A., 2005. "Winter blues and time variation in the price of risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 291-316, March. [Downloadable!] (restricted)
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  10. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October. [Downloadable!] (restricted)
  11. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
  12. Colwell, Peter F & Park, Hun Y, 1990. "Seasonality and Size Effects: The Case of Real-Estate-Related Investment," The Journal of Real Estate Finance and Economics, Springer, vol. 3(3), pages 251-59, September.
  13. William G. Hardin III & Kartono Liano & Gow-cheng Huang, 2005. "Real Estate Investment Trusts and Calendar Anomalies: Revisited," International Real Estate Review, Asian Real Estate Society, vol. 8(1), pages 83-94. [Downloadable!]
  14. Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, vol. 12(4), pages 469-481, December. [Downloadable!] (restricted)
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