This study compares the relative performance of several well-known models in the forecasting of REIT volatility. Overall our results suggest that long-memory models (ARFIMA & FIGARCH) provide the best forecasts. Using either a large sample or some statistically justified small subsamples, we...

Although various income statement–based measures predict the cross section of stock returns, direct method cash flow measures have even stronger predictive power. We transform indirect method cash flow statements into disaggregated and more direct estimates of cash flows from operations and...