Real Estate Mutual Funds: Performance and Persistence
AbstractThis paper studies performance of real estate mutual funds between 1993 and 2001. The results indicate that real estate mutual funds do not provide positive abnormal performance on average. Fund performance to a large extent is determined by performance of the real estate sector as a whole. Impacts of risk factors such as size, book-to-market ratio, and market momentum become immaterial when the real estate market index is also included in the evaluation model. Our results also show fund performance persists in the short term. Risk-adjusted real estate fund returns are affected by fund size, but unrelated to expense ratio, management tenure, and turnover.
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Bibliographic InfoArticle provided by American Real Estate Society in its journal Journal of Real Estate Research.
Volume (Year): 26 (2004)
Issue (Month): 1 ()
Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page: http://www.aresnet.org/
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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- Yang-pin Shen & Chiuling Lu & Zong-Han Lin, 2012. "International Real Estate Mutual Fund Performance: Diversification or Costly Information?," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 394-413, April.
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- Kaserer, Christoph & Diller, Christian, 2004. "What drives cash flow based European private equity returns? Fund inflows, skilled GPs and/or risk?," CEFS Working Paper Series 2004-02, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
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