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Real Estate Investment Trusts and Calendar Anomalies
16 references·6 citing·40 second hop
Real Estate Investment Trusts and Calendar Anomalies (1997)Real Estate Investment Trusts and Calenda…New Evidence on the Monday Seasonal in Stock Returns (1997)New Evidence on the Monday Se…The predictability of returns on equity REITs and their co-movement with other assets (1992)The predictability of returns…The Fractal Structure of Real Estate Investment Trust Returns: The Search for Evidence of Market Segmentation and Nonlinear Dependency (1992)The Fractal Structure of Real…Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects (1990)Turn-of-Month Evaluations of …Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…High Stock Returns before Holidays: Existence and Evidence on Possible Causes (1990)High Stock Returns before Hol…Equity Real Estate Investment Trusts and Real Estate Returns (1990)Equity Real Estate Investment…A monthly effect in stock returns (1987)A monthly effect in stock ret…Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach (1986)Risk and the Performance of R…Dividend yields and stock returns: Implications of abnormal January returns (1985)Dividend yields and stock ret…Real Estate Returns: A Comparison with Other Investments (1984)Real Estate Returns: A Compar…Vas Ist Das? (1983)Vas Ist Das?Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…Stock returns and the weekend effect (1980)Stock returns and the weekend…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…Distress Risk and Stock Returns on Equity REITs (2020)Distress Risk and Stock Retur…Explaining REIT Returns (2019)Explaining REIT ReturnsThe day-of-the-week effect is weak: Evidence from the European real estate sector (2015)The day-of-the-week effect is…Weekend gold returns in bull and bear markets (2012)Weekend gold returns in bull …Extrapolation Theory and the Pricing of REIT Stocks (2007)Extrapolation Theory and the …Calendar Anomalies: The Case of International Property Shares (2007)Calendar Anomalies: The Case …Statistical principles in experimental design. (1962)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time Series Analysis: Forecasting and Control (1977)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Stock Prices and Volume (1992)Another Look at the Cross-Section of Expected Stock Returns (1995)The Behavior of Stock-Market Prices (1965)The relationship between return and market value of common stocks (1981)A Further Investigation of the Weekend Effect in Stock Returns (1984)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Order imbalance, liquidity, and market returns (2002)The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)Business conditions and expected returns on stocks and bonds (1989)Economic Risk Factors and Commercial Real Estate Returns (1997)The Variation of Economic Risk Premiums in Real Estate Returns (1998)Forecasting Real Estate Prices (2013)Stock return variances (1986)The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence (2002)The Role of Feelings in Investor Decision-Making (2005)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Diversification Categories in Investment Real Estate (1986)Price formation and the appraisal function in real estate markets (1991)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Performance measurement with the arbitrage pricing theory (1986)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)The Buying and Selling Behavior of Individual Investors at the Turn of the Year (1988)Efficient Capital Markets and Martingales (1989)Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Anomalies: The January Effect (1987)Periodic market closure and trading volume (1992)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)
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References

  • 1980Stock returns and the weekend effect1,997 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1987A monthly effect in stock returns720 cited
  • 1990High Stock Returns before Holidays: Existence and Evidence on Possible Causes446 cited
  • 1983Vas Ist Das?429 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1984Real Estate Returns: A Comparison with Other Investments335 cited
  • 1992The predictability of returns on equity REITs and their co-movement with other assets284 cited
  • 1990Equity Real Estate Investment Trusts and Real Estate Returns253 cited
  • 1990Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects252 cited
  • 1985Dividend yields and stock returns: Implications of abnormal January returns195 cited
  • 1997New Evidence on the Monday Seasonal in Stock Returns183 cited
  • 1986Risk and the Performance of Real Estate Investment Trusts: A Multiple Index Approach147 cited

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  • 1992The Fractal Structure of Real Estate Investment Trust Returns: The Search for Evidence of Market Segmentation and Nonlinear Dependency118 cited
  • Cited by

    • 2019Explaining REIT Returns40 cited
    • 2007Extrapolation Theory and the Pricing of REIT Stocks39 cited
    • 2020Distress Risk and Stock Returns on Equity REITs30 cited
    • 2012Weekend gold returns in bull and bear markets30 cited
    • 2015The day-of-the-week effect is weak: Evidence from the European real estate sector27 cited
    • 2007Calendar Anomalies: The Case of International Property Shares27 cited