This paper presents new evidence on potential risk-based explanations for the low SEO returns in the year after the issue. Specifically, we analyse whether the issue leads to a long-term higher stock liquidity that implies that SEO stocks have lower expected return due to lower exposure to...

This study analyses underpricing in a sample of 41 Real Estate Investment Trusts (REITs) from the Spanish market between November 2013 and January 2019. The results show a significant underpricing on the initial-day (either when we compute raw or market-adjusted initial returns) concentrated in...

We analyse the existence of herding in the cryptocurrency market through the cross-sectional standard (absolute) deviation of returns. Our results show that extreme dispersion of returns is explained by rational asset pricing models although it is possible to observe herding during down markets,...

This study analyses the impact of the COVID-19 pandemic on Spanish listed REITs during the first wave from both the stock market and the operating performance perspectives. First, we find that the Spanish stock market for REITs reacts with less intensity and later than the rest of the Spanish...

Since 2013, when the market for REITs started in Spain, the number of these investment vehicles has grown steadily. At the end of 2019, Spanish REITs ranked third in Europe in terms of market capitalisation, and first in terms of the number of REITs (EPRA, 2020). This research investigates the...