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The Friday 13th or Friday 17th Effect for European REIT Investors

In: Anomalies in the European REITs Market

Author

Listed:
  • Gianluca Mattarocci

    (University of Rome Tor Vergata)

Abstract

Irrationality in the REIT industry is analyzed by constructing models for identifying abnormal price behavior that is not explainable on the basis of fundamentals, and results obtained demonstrate that the relevance of the phenomenon is affected by the type of security under consideration (Waters and Payne, 2007). The existing irrationality in REIT price behavior can be even greater than it is for other financial instruments due to the characteristics of the underlying assets (real estate); the lack of short selling opportunities; and the reluctance of REIT managers to issue new shares in response to overpricing (Jirasakuldech, Campbell, and Knight (2006). The literature also discusses the construction of a profitable investment strategy that uses information related to the periodical collapse of speculative bubbles (Anderson, Brooks, and Tsolacos, 2011).

Suggested Citation

  • Gianluca Mattarocci, 2014. "The Friday 13th or Friday 17th Effect for European REIT Investors," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Anomalies in the European REITs Market, chapter 9, pages 116-127, Palgrave Macmillan.
    • Handle: RePEc:pal:pmschp:978-1-137-39092-9_10
    DOI: 10.1057/9781137390929_10
    as

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