Chen, Haiwei; Chua, Ansley; Jin, Changha - In: International Real Estate Review 16 (2013) 1, pp. 48-67
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...