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Firm and industry informational content from REIT FFO announcements

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  • William G. Hardin
  • Gow-Cheng Huang
  • Kartono Liano
  • Ming-Shiun Pan

Abstract

Conveyance of information associated with REIT FFO announcements is investigated by decomposing stock returns into three components: firm-specific, industry-level and market-wide. The relative importance of firm-specific and industry information is evaluated around and following FFO announcements. The initial market reaction to REIT FFO announcements is primarily driven by the firm-specific return component. The underreaction to firm-specific information appears in drift after the announcement, especially for negative FFO surprises. FFO surprises explain the firm-specific return component, but not the industry-level return component which further suggests that FFO announcements only convey firm-specific information.

Suggested Citation

  • William G. Hardin & Gow-Cheng Huang & Kartono Liano & Ming-Shiun Pan, 2019. "Firm and industry informational content from REIT FFO announcements," Journal of Property Research, Taylor & Francis Journals, vol. 36(2), pages 131-152, April.
    • Handle: RePEc:taf:jpropr:v:36:y:2019:i:2:p:131-152
    DOI: 10.1080/09599916.2019.1589554
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    Cited by:

    1. Ryan G. Chacon & Dan W. French & Kuntara Pukthuanthong, 2021. "The Information Content of NAV Estimates," The Journal of Real Estate Finance and Economics, Springer, vol. 63(4), pages 598-629, November.

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