Date of Award
Summer 7-22-2010
Degree Type
Dissertation
Degree Name
Doctor of Philosophy (PhD)
Department
Real Estate
First Advisor
Dr. Alan Ziobrowski
Second Advisor
Dr. Paul Gallimore
Third Advisor
Dr. Lisa Schurer Lambert (Managerial Sciences)
Fourth Advisor
Dr. David C. Ling (University of Florida)
Abstract
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 FFO announcement. I also find, using abnormal returns as a measure of investor response, that FFO explains significantly more variance in abnormal returns than net income suggesting that FFO provides more useful information than net income.
Lastly, I use the proportion of institutional holdings as a proxy for the number of informed traders to predict the amount of abnormal trading volume. I find no significant relation between abnormal trading volume and the proportion of institutional holdings. However, when I break down institutional ownership into two broad classifications, I find that the level of abnormal trading volume is significantly positively related to the holdings by mutual funds and investment advisors but negatively related to the holdings of other institutions (pension funds &.endowments, banks and insurance companies). This raises questions of whether the use of an aggregate measure of institutional ownership is appropriate in studies that examine the effect of institutional holdings.
DOI
https://doi.org/10.57709/1416802
Recommended Citation
Gyamfi-Yeboah, Frank, "An Examination of the Information Content of Funds from Operations (FFO) Using Polynomial Regression and Response Surface Methodology." Dissertation, Georgia State University, 2010.
doi: https://doi.org/10.57709/1416802