1. Climate risks and the REITs market. (2025). Salisu, Afees ; Ogbonna, Ahamuefula ; Vo, Xuan Vinh.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1632-1648.

   Full description at Econpapers || Download paper

2. The relative performance of green REITs: Evidence from financial analysts’ forecasts and abnormal returns. (2022). Desfleurs, Aurelie ; Coen, Alain.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002427.

   Full description at Econpapers || Download paper

3. The information content of funds from operations and net income in real estate investment trusts. (2020). Ik, Sang ; Cho, Hoon ; Ryu, Doojin.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300907.

   Full description at Econpapers || Download paper

4. The Relative Announcement Effects of Ordinary Dividends, Special Dividends and Share Buybacks in New Zealand. (2018). Kang, Wen ; Anderson, Warwick.
   In: Working Papers in Economics.
   RePEc:cbt:econwp:18/02.

   Full description at Econpapers || Download paper

1. Ang, A. ; Holdrick, R.J. ; Xing, Y. ; Zhang, X. The cross section of volatility and expected returns. 2006 Journal of Finance. 61 259-299

2. Baik, B. ; Billings, K.B. ; Morton, M.R. Reliability and transparency of non-GAAP disclosures by real estate investment trusts (REITs). 2008 Accounting Review. 83 271-301
   Paper not yet in RePEc: Add citation now
   

3. Baker, M. ; Wurgler, J. Investor sentiment and the cross-section of stock returns. 2006 Journal of Finance. 61 1645-1680

4. Baker, M. ; Wurgler, J. Investor sentiment in the stock market. 2007 The Journal of Economic Perspectives. 21 129-151

5. Ball, R. ; Brown, P. An empirical evaluation of accounting income numbers. 1968 Journal of Accounting Research. 6 159-178

6. Bartov, E. ; Givoly, D. ; Hayn, C. The rewards to meeting or beating earnings expectations. 2002 Journal of Accounting and Economics. 33 173-204

7. Basu, S. The conservatism principle and the asymmetric timeliness of earnings. 1997 Journal of Accounting and Economics. 24 3-37

8. Beaver, W.H. The information content of annual earnings announcements. 1968 Journal of Accounting Research. 67-92

9. Bergman, N.K. ; Roychowdhury, S. Investor sentiment and corporate disclosures. 2008 Journal of Accounting Research. 46 1057-1083

10. Bernard, V. Stock Price Reactions to Earnings Announcements, Advances in Behavioral Finance. 1992 Russell Sage Foundation: New York
    Paper not yet in RePEc: Add citation now
    

11. Beyer, A. ; Cohen, D. ; Lys, T. ; Walther, B. The financial reporting environment: review of the recent literature. 2010 Journal of Accounting and Economics. 50 296-343

12. Brav, A. ; Heaton, J.B. Competing theories of financial anomalies. 2002 Review of Financial Studies. 15 575-606

13. Brounen, D. ; Ben-Hamo, Y. Calendar anomalies: the case of international property shares. 2009 Journal of Real Estate Finance and Economics. 38 115-136

14. Brown, D.L. A temporal analysis of earnings surprises: profits versus losses. 2001 Journal of Accounting Research. 39 221-241

15. Brown, D.L. Earnings surprise research: synthesis and perspectives. March/April 1997 Financial Analysts Journal. 13-19
    Paper not yet in RePEc: Add citation now
    

16. Brown, D.T. ; Riddiough, T.J. Financing choice and liability structure of real estate investment trusts. 2003 Real Estate Economics. 31 313-346

17. Brown, G.W. ; Cliff, M.T. Investor sentiment and asset valuation. 2005 Journal of Business. 78 405-440

18. Brown, G.W. ; Cliff, M.T. Investor sentiment and the near term stock market. 2004 Journal of Empirical Finance. 11 1-27

19. Conrad, J. ; Cornell, B. ; Landsman, W.R. When is bad news really bad news?. 2002 Journal of Finance. 57 2507-2532

20. Daniel, K. ; Hirshleifer, D. ; Subrahmanyam, A. Investor psychology and security market under and overreactions. 1998 Journal of Finance. 53 1839-1886

21. Daniel, K. ; Hirshleifer, D. ; Subrahmanyam, A. Overconfidence, arbitrage, and equilibrium asset pricing. 2001 Journal of Finance. 56 921-965

22. Danielsen, B.R. ; Harrison, D.M. ; Van Ness, R.A. ; Warr, R.S. REIT auditor fees and financial market transparency. 2009 Real Estate Economics. 37 515-557

23. De Long, B.J. ; Shleifer, A. ; Summers, L.H. ; Waldman, R.J. Noise trader risk in financial markets. 1990 Journal of Political Economy. 98 703-738

24. Devos, E. ; Ong, S.E. ; Spieler, A.C. Analyst activity and firm value: evidence from the REIT sector. 2007 Journal of Real Estate Finance and Economics. 35 333-356

25. Downs, D.H. ; Guner, Z.N. On the quality of FFO forecasts. 2006 Journal of Real Estate Research. 28 259-274

26. Eichholtz, P.M.A. ; Gugler, N. ; Kok, N. Transparency, integration and the cost of international real estate investments. 2011 Journal of Real Estate Finance and Economics. 43 152-173

27. Eichholtz, P.M.A. ; Koedijk, K. ; Schweitzer, M. Global property investment and the costs of international diversification. 2001 Journal of International Money and Finance. 20 349-366

28. Epstein, L.G. ; Turnbull, S.M. Capital asset prices and the temporal resolution of uncertainty. 1980 Journal of Finance. 35 627-643

29. Fama, E. Market efficiency, long-term returns, and behavioral finance. 1998 Journal of Financial Economics. 49 283-306

30. Francis, J. ; Ryan, L. ; Olson, P. ; Shipper, K. Information uncertainty and post-earnings announcement drift. 2007 Journal of Business Finance and Accounting. 34 403-433

31. Freeman, ; Robert, ; Senyo, Tse. A nonlinear model of security price responses to unexpected earnings. 1992 Journal of Accounting Research. 30 185-209

32. Gore, R. ; Stott, M.D. Toward a more informative measure of operating performance in the REIT industry: net income vs. funds from operations. 1998 Accounting Horizons. 12 323-339
    Paper not yet in RePEc: Add citation now
    
33. Graham, C.M. ; Knight, J.R. Cash flows vs. earnings in the valuation of equity REITs. 2000 Journal of Real Estate Portfolio Management. 6 17-25
    Paper not yet in RePEc: Add citation now
    
34. Griffin, D. ; Tversky, A. The weighting evidence and determinants of confidence. 1992 Cognitive Psychology. 24 411-435
    Paper not yet in RePEc: Add citation now
    
35. Gyamfi-Yeboah, F. ; Ziobrowski, A.J. ; Lambert, L.S. REITs' price reaction to unexpected FFO announcements. 2010 Journal of Real Estate Finance and Economics. -
    Paper not yet in RePEc: Add citation now
    

36. Hirshleifer, D. Investor psychology and asset pricing. 2001 Journal of Finance. 56 1533-1596

37. Hribar, P. ; McInnis, J. Investor sentiment and analysts' earnings forecast errors. 2012 Management Science. 58 293-307

38. Imhoff, E.A. ; Lobo, G.J. The effect of ex ante earnings uncertainty on earnings response coefficients. 1992 The Accounting Review. 67 427-439
    Paper not yet in RePEc: Add citation now
    

39. Jegadeesh, N. ; Titman, S. Returns to buying winners and selling losers: implications for stock market efficiency. 1993 Journal of Finance. 48 65-91

40. Kim, D. ; Kim, M. A multifactor explanation of post-earnings announcement drift. 2003 Journal of Financial and Quantitative Analysis. 38 383-398

41. Koedijk, K.G. ; Stork, P.A. Should we care? Psychological barriers in stock markets. 1994 Economics Letters. 44 427-432

42. Liang, L. Post-earnings announcement drift and market participants’ information processing biases. 2003 Review of Accounting Studies. 8 321-345
    Paper not yet in RePEc: Add citation now
    
43. Ling, D. ; Naranjo, A. ; Scheick, B. Investor Sentiment, Limits to Arbitrage, and Private Market Returns. University of Florida Working Paper. 2012 :
    Paper not yet in RePEc: Add citation now
    
44. Livant, J. ; Petrovits, C. Investor Sentiment, Post Earnings Announcement Drift and Accruals. 2009 New York University: New York
    Paper not yet in RePEc: Add citation now
    
45. Lopez, J.T. ; Rees, L. The effect of beating and missing analysts' forecasts on the information content of unexpected earnings. 2002 Journal of Accounting, Auditing and Finance. 17 155-184
    Paper not yet in RePEc: Add citation now
    

46. Naranjo, A. ; Porter, B. Risk factor and industry effects in the cross-country comovement of momentum returns. 2010 Journal of International Money and Finance. 29 275-299

47. Neal, R. ; Wheatley, S.M. Do measures of investor sentiment predict returns?. 1998 Journal of Financial and Quantitative Analysis. 33 523-547

48. Ott, S.H. ; Riddiough, T.J. ; Yi, H. Finance, investment and investment performance: evidence from the REIT sector. 2005 Real Estate Economics. 33 203-235

49. Pastor, L. ; Stambaugh, R.F. Liquidity risk and expected stock returns. 2003 Journal of Political Economy. 111 642-685

50. Petersen, M.A. Estimating standard errors in finance panel data sets: comparing approaches. 2009 Review of Financial Studies. 22 435-480

51. Price, M.S. ; Gatzlaff, D.H. ; Sirmans, C.F. Information uncertainty and the post-earnings announcement drift. 2010 Journal of Real Estate Finance and Economics. -
    Paper not yet in RePEc: Add citation now
    

52. Richardson, S. ; Tuna, I. ; Wysocki, P. Accounting anomalies and fundamental analysis: a review of recent advances. 2010 Journal of Accounting and Economics. 50 410-454

53. Robichek, A.A. ; Myers, S.C. Valuation of the firm: effects of uncertainty in a market context. 1966 Journal of Finance. 21 215-227

54. Safdar, I. A Joint Test of Accounting Information and Investor Sentiment Theory. 2009 :
    Paper not yet in RePEc: Add citation now
    
55. Seybert, N. ; Wang, S. False Prophets: How Analysts Lead Short Sellers Astray during Periods of High Investor Sentiment. 2009 University of Texas: Austin
    Paper not yet in RePEc: Add citation now
    
56. Shipper, K. Analysts forecasts. 1991 Accounting Horizons. 5 105-121
    Paper not yet in RePEc: Add citation now
    

57. Shleifer, A. ; Vishny, R. The limits of arbitrage. 1997 Journal of Finance. 52 35-55

58. Skinner, D.J. ; Sloan, R.G. Earnings surprises, growth expectations, and stock returns or don't let an earnings torpedo sink your portfolio. 2002 Review of Accounting Studies. 7 289-312
    Paper not yet in RePEc: Add citation now
    
59. Vincent, L. The information content of funds from operations (FFO) for real estate investment trusts (REITs). 1999 Journal of Accounting and Economics. 26 69-104
    Paper not yet in RePEc: Add citation now
    

60. Yu, J. ; Yuan, Y. Investor sentiment and the mean-variance relation. 2010 Journal of Financial Economics. 100 367-381

61. Zhang, F. Information uncertainty and stock returns. 2006 Journal of Finance. 61 105-137

1. Deep Recurrent Factor Model: Interpretable Non-Linear and Time-Varying Multi-Factor Model. (2019). Ito, Tomoki ; Abe, Masaya ; Izumi, Kiyoshi ; Nakagawa, Kei.
   In: Papers.
   RePEc:arx:papers:1901.11493.

   Full description at Econpapers || Download paper

2. Asset Pricing with Idiosyncratic Shocks. (2016). Vanitcharearntham, Vimut ; Srisuksai, Pithak.
   In: Applied Economics Journal.
   RePEc:aej:apecjn:v:23:y:2016:i:1:p:35-58.

   Full description at Econpapers || Download paper

3. Asset Management Contracts and Equilibrium Prices. (2014). Vayanos, Dimitri ; Buffa, Andrea M. ; Woolley, Paul.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10152.

   Full description at Econpapers || Download paper

4. What is the Relation (if any) Between a Firms Corporate Governance Arrangements and its Financial Performance?. (2014). Dam, Lammertjan ; Wansbeek, Tom J. ; Wessels, Roberto E..
   In: CESifo Working Paper Series.
   RePEc:ces:ceswps:_4599.

   Full description at Econpapers || Download paper

5. The volatility effect in emerging markets. (2013). Vliet, Pim ; Blitz, David ; van Vliet, Pim ; Pang, Juan.
   In: Emerging Markets Review.
   RePEc:eee:ememar:v:16:y:2013:i:c:p:31-45.

   Full description at Econpapers || Download paper

6. A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks. (2012). Papanikolaou, Dimitris ; Kogan, Leonid.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:17975.

   Full description at Econpapers || Download paper

7. Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC. (2012). Saad, Mohsen ; Bley, Jorg.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:22:y:2012:i:3:p:538-554.

   Full description at Econpapers || Download paper

8. Primary market characteristics and secondary market frictions of stocks. (2012). Boehme, Rodney ; Çolak, Gönül, .
   In: Journal of Financial Markets.
   RePEc:eee:finmar:v:15:y:2012:i:2:p:286-327.

   Full description at Econpapers || Download paper

9. Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics. (2011). Hilscher, Jens ; Bandarchuk, Pavel .
   In: Working Papers.
   RePEc:brd:wpaper:38.

   Full description at Econpapers || Download paper

10. Carry Trades and Global FX Volatility. (2009). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
    In: MPRA Paper.
    RePEc:pra:mprapa:14728.

    Full description at Econpapers || Download paper

11. Risk Shifting and Mutual Fund Performance. (2009). Sialm, Clemens ; Huang, Jennifer ; Zhang, Hanjiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14903.

    Full description at Econpapers || Download paper

12. Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns. (2009). Bali, Turan G. ; Whitelaw, Robert F. ; Cakici, Nusret.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14804.

    Full description at Econpapers || Download paper

13. Idiosyncratic Risk and REIT Returns. (2009). Ooi, Joseph ; Wang, Jingliang ; Webb, James.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:38:y:2009:i:4:p:420-442.

    Full description at Econpapers || Download paper

14. Performance measurement of hedge funds managers. (2008). Dobrin, Octavian ; Popa, Ion ; Tiu, Cristian ; Bagu, Constantin .
    In: Economia. Seria Management.
    RePEc:rom:econmn:v:11:y:2008:i:2:p:38-48.

    Full description at Econpapers || Download paper

15. Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns. (2008). Jiang, Danling.
    In: MPRA Paper.
    RePEc:pra:mprapa:8325.

    Full description at Econpapers || Download paper

16. Realization Utility. (2008). Xiong, Wei ; Barberis, Nicholas C..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14440.

    Full description at Econpapers || Download paper

17. A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds. (2008). phalippou, ludovic ; Lin, Tse-Chun ; Driessen, Joost.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14144.

    Full description at Econpapers || Download paper

18. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. (2008). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13739.

    Full description at Econpapers || Download paper

19. Liquidity and leverage. (2008). Shin, Hyun Song ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:328.

    Full description at Econpapers || Download paper

20. Realized volatility. (2008). Benzoni, Luca ; Andersen, Torben.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-08-14.

    Full description at Econpapers || Download paper

21. Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-48.

    Full description at Econpapers || Download paper

22. Semiparametric Inference in a GARCH-in-Mean Model. (2008). Iglesias, Emma ; Dahl, Christian ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-46.

    Full description at Econpapers || Download paper

23. FIEGARCH-M and and International Crises: A Cross-Country Analysis. (2008). Zhu, Jie.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-16.

    Full description at Econpapers || Download paper

24. Pricing Volatility of Stock Returns with Volatile and Persistent Components. (2008). Zhu, Jie.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-14.

    Full description at Econpapers || Download paper

25. Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle. (2007). Jiang, Danling ; Doran, James ; Peterson, David.
    In: MPRA Paper.
    RePEc:pra:mprapa:4995.

    Full description at Econpapers || Download paper

26. Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13449.

    Full description at Econpapers || Download paper

27. Preferred Risk Habitat of Individual Investors. (2007). Huberman, Gur ; Dorn, Daniel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6532.

    Full description at Econpapers || Download paper

28. Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-24.

    Full description at Econpapers || Download paper

29. The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-03.

    Full description at Econpapers || Download paper

30. Realized Volatility and Asymmetries in the A.S.E. Returns. (2006). Thomakos, Dimitrios ; Koubouros, Michail.
    In: Finance.
    RePEc:wpa:wuwpfi:0507012.

    Full description at Econpapers || Download paper

31. Realized Volatility and Asymmetries in the A.S.E. Returns. (2006). Thomakos, Dimitrios ; Koubouros, Michail.
    In: Finance.
    RePEc:wpa:wuwpfi:0504009.

    Full description at Econpapers || Download paper

32. Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis. (2006). He, Xuezhong (Tony) ; Dieci, Roberto.
    In: Research Paper Series.
    RePEc:uts:rpaper:186.

    Full description at Econpapers || Download paper

33. Asset Prices and asset Correlations in Illiquid Markets. (2006). Brunetti, Celso.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:331.

    Full description at Econpapers || Download paper

34. In Search of Distress Risk. (2006). Hilscher, Jens ; Campbell, John ; Szilagyi, Jan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12362.

    Full description at Econpapers || Download paper

35. Financial Distress and Idiosyncratic Volatility: An Empirical Investigation. (2006). Chollete, Loran ; Chen, Jing.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2006_008.

    Full description at Econpapers || Download paper

36. Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims. (2006). zhang, xiaoyan ; Wang, Zhenyu.
    In: Staff Reports.
    RePEc:fip:fednsr:265.

    Full description at Econpapers || Download paper

37. Stock returns and volatility: pricing the short-run and long-run components of market risk. (2006). Rosenberg, Joshua ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:254.

    Full description at Econpapers || Download paper

38. Visible and hidden risk factors for banks. (2006). Stiroh, Kevin ; Schuermann, Til.
    In: Staff Reports.
    RePEc:fip:fednsr:252.

    Full description at Econpapers || Download paper

39. The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries. (2006). Guo, Hui ; Savickas, Robert.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-036.

    Full description at Econpapers || Download paper

40. Aggregate idiosyncratic volatility in G7 countries. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-027.

    Full description at Econpapers || Download paper

41. Expected stock returns and variance risk premia. (2006). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2007-11.

    Full description at Econpapers || Download paper

42. Investor Overreaction, Cross-Sectional Dispersion of Firm Valuations, and Expected Stock Returns. (2006). Jiang, Danling.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-8.

    Full description at Econpapers || Download paper

43. In search of distress risk. (2005). Hilscher, Jens ; Campbell, John ; Szilagyi, Jan .
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4221.

    Full description at Econpapers || Download paper

44. Downside Risk. (2005). Xing, Yuhang ; Ang, Andrew ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11824.

    Full description at Econpapers || Download paper

45. Idiosyncratic volatility, stock market volatility, and expected stock returns. (2005). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-028.

    Full description at Econpapers || Download paper

46. Using implied volatility to measure uncertainty about interest rates. (2005). Neely, Christopher.
    In: Review.
    RePEc:fip:fedlrv:y:2005:i:may:p:407-425:n:v.87no.3.

    Full description at Econpapers || Download paper

47. Variance Risk Premia. (2004). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0409015.

    Full description at Econpapers || Download paper

48. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. (2004). Vayanos, Dimitri.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10327.

    Full description at Econpapers || Download paper

49. A rational pricing explanation for the failure of CAPM. (2004). Guo, Hui.
    In: Review.
    RePEc:fip:fedlrv:y:2004:i:may:p:23-34:n:v.86no.3.

    Full description at Econpapers || Download paper

50. Does idiosyncratic risk matter: another look. (2003). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-025.

    Full description at Econpapers || Download paper

Report date: 2025-09-17 04:48:17 || Missing content? Let us know