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An Examination Of The Information Content Of Funds From Operations (Ffo) Using Polynomial Regression And Response Surface Methodology, Frank Gyamfi-Yeboah

Real Estate Dissertations

I examine the market reaction to the announcement of FFO by REITs using abnormal trading volume as a gauge of investors’ reaction. I also address the question of whether FFO provides more useful information to investors than net income. Lastly, I examine whether the quality of private information among traders prior to the announcement of FFO affects the level of abnormal trading volume.

Using three different specifications, I find that even though the announcement of FFO leads to abnormal trading, there is no association between the level of abnormal trading volume and the size of the surprise contained in the …