We investigate the marginal predictive content of small versus large jump variation, when forecasting one-week-ahead cross-sectional equity returns, building on Bollerslev et al. (2020). We find that sorting on signed small jump variation leads to greater value-weighted return differentials...

Relations between Real Estate Investment Trust (REIT) efficiency and operational performance, risk, and stock return are examined. REIT-level operational efficiency is measured as the ratio of operational expenses to revenue, where a higher operational efficiency ratio (OER) indicates a less...

This study examines whether the announcement of REIT open-market stock repurchase programs contain information content about future operating performance over the period 1990-2001. We find no evidence that REIT stock buybacks are positively related to the operating performance. In fact, the...

The vast majority of European Real Estate Investment Trusts (REIT) choose, under IAS 40, to report fair value of investment properties on the balance sheet and therefore recognize changes in fair value in a gain or loss in the income statement. Under European Public Real Estate Association...