{"title":"《国际房地产评论》","authors":"Haiwei Chen, Ansley Chua, Changha Jin","doi":"10.53383/100164","DOIUrl":null,"url":null,"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.","PeriodicalId":44050,"journal":{"name":"International Real Estate Review","volume":"3 1","pages":""},"PeriodicalIF":0.4000,"publicationDate":"2013-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"International Real Estate Review\",\"authors\":\"Haiwei Chen, Ansley Chua, Changha Jin\",\"doi\":\"10.53383/100164\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":44050,\"journal\":{\"name\":\"International Real Estate Review\",\"volume\":\"3 1\",\"pages\":\"\"},\"PeriodicalIF\":0.4000,\"publicationDate\":\"2013-04-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Real Estate Review\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.53383/100164\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Real Estate Review","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.53383/100164","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ECONOMICS","Score":null,"Total":0}
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.
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