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The Impact of the Turn of the Month on European REIT Markets

In: Anomalies in the European REITs Market

Author

Listed:
  • Gianluca Mattarocci

    (University of Rome Tor Vergata)

Abstract

Normally, positive performance achieved in a given month is focused on the first days of the month and calendar anomalies are more relevant for smaller REITs (Redman, Manakyan, and Liano, 1997). The differences in returns at the turn of the month and during the rest of the month are driven more by the capital yield than the dividend yield. Even if REIT dividends are frequently paid outside the turn of the month period, capital appreciation is mostly related to these few days of the month (Hardin, Liano, and Huang, 2005).

Suggested Citation

  • Gianluca Mattarocci, 2014. "The Impact of the Turn of the Month on European REIT Markets," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Anomalies in the European REITs Market, chapter 6, pages 71-90, Palgrave Macmillan.
    • Handle: RePEc:pal:pmschp:978-1-137-39092-9_7
    DOI: 10.1057/9781137390929_7
    as

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