Firm and industry informational content from REIT FFO announcements

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

Journal of Property Research, 2019, vol. 36, issue 2, 131-152

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.

Date: 2019
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DOI: 10.1080/09599916.2019.1589554

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