Analyst Forecasting Errors in REITs
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chen,Haiwei | - |
dc.contributor.author | Chua,Ansley | - |
dc.contributor.author | Jin, Changha | - |
dc.date.accessioned | 2021-06-23T04:22:07Z | - |
dc.date.available | 2021-06-23T04:22:07Z | - |
dc.date.created | 2021-02-18 | - |
dc.date.issued | 2013-01 | - |
dc.identifier.issn | 2154-8919 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/erica/handle/2021.sw.erica/29212 | - |
dc.description.abstract | We find that the 3-day window around funds from operations (FFO) announcements drives the momentum profits found in the literature, which deliver an average excess monthly return of 1.22% over the period of 1990-2008 and 1.59% during the post-2000 period. Excluding this announcement window, a momentum strategy does not generate any significant returns. The FFO-surprised-based portfolio formation method produces higher momentum profits than the return-based formation method. There is a significant positive serial correlation between the unexpected FFO for the next two quarters. We contribute to the current literature by documenting that the persistence of momentum profits is due to the underreaction by analysts on public information, the FFO announcement. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | GLOBAL SOCIAL SCIENCE INST | - |
dc.title | Analyst Forecasting Errors in REITs | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Jin, Changha | - |
dc.identifier.doi | 10.53383/100164 | - |
dc.identifier.scopusid | 2-s2.0-84942247423 | - |
dc.identifier.bibliographicCitation | International Real Estate Review, v.16, no.1, pp.48 - 67 | - |
dc.relation.isPartOf | International Real Estate Review | - |
dc.citation.title | International Real Estate Review | - |
dc.citation.volume | 16 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 48 | - |
dc.citation.endPage | 67 | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | scopus | - |
dc.subject.keywordAuthor | REITs | - |
dc.subject.keywordAuthor | Analyst Forecasting | - |
dc.subject.keywordAuthor | Momentum Strategy | - |
dc.subject.keywordAuthor | Real Estate Investment | - |
dc.identifier.url | https://www.um.edu.mo/fba/irer/papers/past/vol16n1_pdf/03.pdf | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
55 Hanyangdeahak-ro, Sangnok-gu, Ansan, Gyeonggi-do, 15588, Korea+82-31-400-4269 sweetbrain@hanyang.ac.kr
COPYRIGHT © 2021 HANYANG UNIVERSITY. ALL RIGHTS RESERVED.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.