* FTSEurofirst 300 closes 0.6 pct lower; 3rd day of falls
* Retail shares among top fallers, Hennes & Mauritz slips
* Beiersdorf rises after P&G's CEO says interested in firm
By Harpreet Bhal
LONDON, Sept 29 (Reuters) - European shares slipped to a three-week closing low on Wednesday, with Hennes & Mauritz leading retailers lower after it posted a weak quarterly profit margin, and as heavyweight banks fell.
H&M shed 6.5 percent after its third quarter profit margins weakened and as concerns grew over the prospect of more cost pressures in coming months.
The STOXX Europe 600 retail index lost 1.3 percent, with peers Debenhams, Next and Inditex down 0.2 to 1 percent.
The pan-European FTSEurofirst 300 index of top shares closed 0.6 percent lower at 1,064.88 points in the third straight session of losses.
Gains in the early part of September helped the FTSEurofirst 300 index rise 3.8 percent so far this month, on track to rebound from a 1.7 percent drop in August.
"Markets are pausing for breath after rallying so strongly over the last few weeks. If U.S. GDP data tomorrow is weak, we could see a situation where that could be interpreted as good news because it increases the likelihood of more quantitative easing," said James Hughes, strategist at CMC Markets.
Economic data likely to be in focus on Thursday include the final reading of U.S. second quarter gross domestic product, which analysts expect to show a growth of 1.6 percent.
Speculation has been mounting that the U.S. Federal Reserve officials could embark on a second wave of quantitative easing to support a sluggish economic recovery.
Data from the United States earlier on Wednesday showed mortgage applications fell for a fourth straight week, reflecting the inability of many homeowners to take advantage of record low interest rates.
"The incoming economic numbers are mixed, with some surprising on the positive side and some on the negative side. That keeps investors guessing how significant the economic growth slowdown will be," said Tammo Greetfeld, equity strategist at UniCredit.
BEIERSDORF STRONG
Helping limit further losses, Beiersdorf rose more than 10 percent, before paring gains, after Procter & Gamble's chief executive was quoted as saying he was interested in buying the maker of Nivea skin cream. The German firm, however, said it was not aware of P&G's interest.
Heavyweight BP was in demand, up 3.9 percent, after saying it was to fundamentally restructure itself in the wake of the Gulf of Mexico spill.
On the downside, metals group Vedanta Resources fell 4.3 percent after its Sterlite Industries unit was ordered by a court to shut its Tuticor copper smelter in south India.
Banks were also lower, with Barclays, Societe General and Deutsche Bank down 1.2 to 3.4 percent.
The VDAX-NEW volatility index, one of Europe's main barometers of investor anxiety, rose 1.7 percent but remained in a tight range where it has oscillated for nearly a month. The chart suggested an imminent spike in volatility that could mean a stock market pull-back. The higher the volatility index, based on sell- and buy-options on Frankfurt's top-30 stocks, the lower investors' appetite is for risky assets such as equities and commodities. (Additional reporting by Atul Prakash; Editing Louise Heavens)