IDEAS home Printed from https://ideas.repec.org/a/ire/issued/v14n012011p61-84.html
   My bibliography  Save this article

Systematic Equity Return Patterns in Listed European Property Companies

Author

Listed:
  • Fahad Almudhaf

    () (Kuwait University)

  • J. Andrew Hansz

    () (California State University Fresno)

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.

Suggested Citation

  • Fahad Almudhaf & J. Andrew Hansz, 2011. "Systematic Equity Return Patterns in Listed European Property Companies," International Real Estate Review, Asian Real Estate Society, vol. 14(1), pages 61-84.
  • Handle: RePEc:ire:issued:v:14:n:01:2011:p:61-84
    as

    Download full text from publisher

    File URL: http://www.umac.mo/fba/irer/papers/current/vol14n1_pdf/03.pdf
    File Function: Full text
    Download Restriction: no

    References listed on IDEAS

    as
    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, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Mehmet Akbulut & Su Han Chan & Mariya Letdin, 2015. "Calendar Anomalies: Do REITs Behave Like Stocks?," International Real Estate Review, Asian Real Estate Society, vol. 18(2), pages 177-215.
    3. repec:kap:jrefec:v:56:y:2018:i:1:d:10.1007_s11146-016-9564-1 is not listed on IDEAS

    More about this item

    Keywords

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

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ire:issued:v:14:n:01:2011:p:61-84. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (IRER Secretary Office/Webmaster). General contact details of provider: http://www.asres.org/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.