Data for: Information content of funds from operation and net income in real estate investment trusts

Data Description ‘raw.zip’ contains raw data which are used in the study. - ‘ff_factor’ is five factor return obtained from French’s website - ‘return_total’ is daily return of both REITs and non-REITs. - ‘used_reit_comp’ is raw COMPUSTAT data for REITs and ‘used_total_comp’ is raw COMPUSTAT data for non-REITs. ‘input.zip’ contains processed data. - ‘ann_ex_ret’ and ‘total_ann_ex_ret’ are three days cumulative abnormal return following earnings announcement for REITs and non-REITs, respectively. - ‘ann_raw_ret’ and ‘total_ann_raw_ret’ are three days cumulative raw return following earnings announcement for REITs and non-REITs, respectively. - ‘earnings’ and ‘total_earnings’ are earnings for REITs and non-REITs respectively. - ‘eps_ffo' and ‘total_eps_ffo' are ffo per share for REITs and non-REITs respectively. - ‘eps_ni' and ‘total_eps_ni' are ni per share for REITs and non-REITs respectively. - ‘ffo' and ‘total_ ffo' are ffo for REITs and non-REITs respectively. - ‘ni' and ‘total_ ni' are ni for REITs and non-REITs respectively. - ‘reit_atq_rank’ and ‘total_atq_rank’ are size rank based on total asset for REITs and non-REITs respectively. - ‘reit_rdq’ and ‘total_rdq’ are earnings announcement date for REITs and non-REITs respectively. - ‘sretq’ and ‘total_sret’ are gain or loss from sales of property for REITs and non-REITs respectively. - ‘depre’ and ‘total_depre’ are depreciation and amortization for REITs and non-REITs respectively. - ‘sue_ffo' and ‘total_sue_ffo' are standardized unexpected earnings for ffo for REITs and non-REITs respectively. - ‘sue_ni' and ‘total_sue_ni' are standardized unexpected earnings for ni for REITs and non-REITs respectively. - ‘sue_ffo_rank' and ‘total_sue_ffo_rank' are historical rank of standardized unexpected earnings for ffo for REITs and non-REITs respectively. - ‘sue_ni_rank' and ‘total_sue_ni_rank' are historical rank of standardized unexpected earnings for ffo for REITs and non-REITs respectively. ‘ziman.zip’ contains data from CRSP/Ziman database