Period dtype not recognized for added column 
```python
data = [pd.Period('2002-03','D')]
# 1
pd.DataFrame({'a': data}).a.dtype
# 2
df = pd.DataFrame([])
df['a'] = data
df.a.dtype
```
```python
period[D]

dtype('O')
```
Expected output is the same - `period[D]`. As it is the same for example for `data = [pd.Timestamp('2000-01-01')]` : both `dtype('<M8[ns]')`.

<details>

INSTALLED VERSIONS
------------------
commit: None
python: 3.7.3.final.0
python-bits: 64
OS: Linux
OS-release: 5.0.0-16-generic
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.24.2
pytest: 4.5.0
pip: 19.1.1
setuptools: 41.0.1
Cython: 0.29.7
numpy: 1.16.4
scipy: 1.2.1
pyarrow: None
xarray: 0.12.1
IPython: 7.2.0
sphinx: None
patsy: None
dateutil: 2.8.0
pytz: 2019.1
blosc: None
bottleneck: None
tables: 3.5.1
numexpr: 2.6.9
feather: None
matplotlib: 3.0.3
openpyxl: None
xlrd: None
xlwt: None
xlsxwriter: None
lxml.etree: None
bs4: None
html5lib: None
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: 2.10.1
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None
gcsfs: None

</details>
