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Analyst Forecasting Errors in REITs


  • Haiwei Chen

    () (The University of Texas, Pan American, Department of Economics and Finance, 1201 West University Drive, Edinburg, Texas 78539-2999, Phone: (956) 665-3338, Fax: (956) 665-5020)

  • Ansley Chua

    () (Kansas State University, Department of Finance, Kansas State University, Calvin Hall, Manhattan, KS 66506, Phone: (785) 532-6031, Fax: (785) 532-6822)

  • Changha Jin

    () (Hanyang University, Department of Economics, Ansan Kyunggi-do, South Korea, 426-791, Phone(031) 400-5593, Fax (031) 400-5591)


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.

Suggested Citation

  • Haiwei Chen & Ansley Chua & Changha Jin, 2013. "Analyst Forecasting Errors in REITs," International Real Estate Review, Asian Real Estate Society, vol. 16(1), pages 48-67.
  • Handle: RePEc:ire:issued:v:16:n:01:2013:p:48-67

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    References listed on IDEAS

    1. Chui, Andy C. W. & Titman, Sheridan & Wei, K. C. John, 2003. "Intra-industry momentum: the case of REITs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 363-387, May.
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    10. Erik Devos & Seow Ong & Andrew Spieler, 2007. "Analyst Activity and Firm Value: Evidence from the REIT Sector," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 333-356, October.
    11. Chan, Louis K C & Jegadeesh, Narasimhan & Lakonishok, Josef, 1996. " Momentum Strategies," Journal of Finance, American Finance Association, vol. 51(5), pages 1681-1713, December.
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    Cited by:

    1. Deb, Kaveri & Sengupta, Bodhisattva, 2016. "On Empirical Distribution of RCA Indices," MPRA Paper 74087, University Library of Munich, Germany.
    2. Wang, Qi & Zhang, Chunyu & Ding, Yi & Xydis, George & Wang, Jianhui & Østergaard, Jacob, 2015. "Review of real-time electricity markets for integrating Distributed Energy Resources and Demand Response," Applied Energy, Elsevier, vol. 138(C), pages 695-706.
    3. repec:nbp:nbpbik:v:48:y:2017:i:2:p:173-196 is not listed on IDEAS
    4. Chen, Xin & Mu, Hailin & Li, Huanan & Gui, Shusen, 2014. "Using stockpile delegation to improve China׳s strategic oil policy: A multi-dimension stochastic dynamic programming approach," Energy Policy, Elsevier, vol. 69(C), pages 28-42.

    More about this item


    REITs; Analyst Forecasting; Momentum Strategy; Real Estate Investment;

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services


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