ABSTRACT Conveyance of information associated with REIT FFO announcements is investigated by decomposing stock returns into three components: firm-specific, industry-level and market-wide. The relative importance of firm-specific and industry information is evaluated around and following FFO announcements. The initial market reaction to REIT FFO announcements is primarily driven by the firm-specific return component. The underreaction to firm-specific information appears in drift after the announcement, especially for negative FFO surprises. FFO surprises explain the firm-specific return component, but not the industry-level return component which further suggests that FFO announcements only convey firm-specific information.

中文翻译：

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REIT FFO公告中的公司和行业信息内容

摘要通过将股票收益分解为三个部分来研究与REIT FFO公告相关的信息传递：特定于公司，行业和整个市场。在FFO公告前后，评估公司特定信息和行业信息的相对重要性。市场对REIT FFO公告的最初反应主要是由公司特定的收益构成的。公告发布后，对公司特定信息的反应不足，尤其是对于负面FFO意外事件。FFO的惊喜解释了公司特定的收益组成部分，但没有解释行业水平的收益组成部分，这进一步表明FFO公告仅传达了公司特定的信息。