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The Day of the Week Effect in Real Estate Investment Trusts
9 references·2 citing·50 second hop
The Day of the Week Effect in Real Estate Investment Trusts (2000)The Day of the Week Effect in Real Estate…The Predictability of Equity REIT Returns (1998)The Predictability of Equity …REIT Style and Performance (1998)REIT Style and PerformanceFrequency Space Correlation between REITs and Capital Market Indices (1998)Frequency Space Correlation b…The Historical Performance of Real Estate Investment Trusts (1995)The Historical Performance of…Price reversal, transaction costs, and arbitrage profits in the real estate securities market (1995)Price reversal, transaction c…The Individual Investor and the Weekend Effect (1994)The Individual Investor and t…Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison (1993)Return Properties of Equity R…Return Autocorrelations around Nontrading Days (1993)Return Autocorrelations aroun…The Weekend Effect: Trading Patterns of Individual and Institutional Investors (1990)The Weekend Effect: Trading P…Calendar Effects and Real Estate Securities (2013)Calendar Effects and Real Est…The Friday Effect in European Securitized Real Estate Index Returns (2006)The Friday Effect in European…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Risk and Return on Real Estate: Evidence from Equity REITs (1990)Hotel Real Estate Investment Trusts' Risk Features and Beta Determinants (2002)REITs and Idiosyncratic Risk (2004)Investor Sentiment and REIT Returns (2008)Permanent and Temporary Components of Stock Prices (1988)Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Closed‐End Fund Puzzle (1991)Real estate is not normal: A fresh look at real estate return distributions (1995)Appraisal Smoothing and Price Discovery in Real Estate Markets (2003)Are REITs real estate? Evidence from international sector level data (2012)The predictability of returns on equity REITs and their co-movement with other assets (1992)What Does the Stock Market Tell Us About Real Estate Returns? (1992)Another Look at the Asymmetric REIT-Beta Puzzle (2004)Why Do REIT Returns Poorly Reflect Property Returns? Unrealizable Appreciation Gains due to Trading Constraints as the Solution to the Short‐Term Disparity (2013)Spillover Risks in REITs and other Asset Markets (2016)Economic Forces and the Stock Market (1986)Evidence of Predictable Behavior of Security Returns (1990)The Cross-Section of Expected Stock Returns (1992)Commercial Real Estate Return Performance: A Cross-Country Analysis (2002)Forecasting Real Estate Prices (2013)Stock returns and the weekend effect (1980)When Are Contrarian Profits Due to Stock Market Overreaction? (1990)The impact of institutional trading on stock prices (1992)The day-of-the-week effect: The international evidence (1996)A New Look at the Monday Effect (1997)The impact of public information on investors (2001)Equity issues and offering dilution (1986)A Theory of Intraday Patterns: Volume and Price Variability (1988)Earnings news and small traders (1992)Inferring investor behavior: Evidence from TORQ data (2000)Losing Sleep at the Market: The Daylight Saving Anomaly (2000)Stock return variances (1986)Fads, Martingales, and Market Efficiency (1990)Testing the Predictability and Efficiency of Securitized Real Estate Markets (2010)Dynamic modelling of real estate investment trusts and stock markets (2011)Predictability and Persistence of the Price Movements of the S&P/Case-Shiller House Price Indices (2011)The Journal of Real Estate Finance and Economics (2013)Estimating betas from nonsynchronous data (1977)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)A Transactions Data Analysis of Nonsynchronous Trading (1999)Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach (2006)Return Differences between Trading and Non-Trading Hours: Like Night and Day (2008)Day of the Week Effects and Asset Returns (1981)Good Day Sunshine: Stock Returns and the Weather (2003)Intertemporal Changes in the Riskiness of REITs (1995)Asset Allocation and the Performance of Real Estate Mutual Funds (2000)REITs in the decentralized investment industry (2002)The Environment and Performance of Real Estate Investment Trusts (2003)
this work references cited by second hop

References

  • 1990The Weekend Effect: Trading Patterns of Individual and Institutional Investors498 cited
  • 1994The Individual Investor and the Weekend Effect333 cited
  • 1993Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison207 cited
  • 1995The Historical Performance of Real Estate Investment Trusts117 cited
  • 1993Return Autocorrelations around Nontrading Days112 cited
  • 1998The Predictability of Equity REIT Returns111 cited
  • 1998REIT Style and Performance74 cited
  • 1998Frequency Space Correlation between REITs and Capital Market Indices43 cited
  • 1995Price reversal, transaction costs, and arbitrage profits in the real estate securities market36 cited

Cited by

  • 2006The Friday Effect in European Securitized Real Estate Index Returns24 cited
  • 2013Calendar Effects and Real Estate Securities22 cited

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