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Los fondos de inversion inmobiliaria en España 1994-2005: Analisis del rendimiento y persistencia


  • Lopez, M. C.
  • Lopez, C.
  • Maside, J. M.


Este trabajo tiene como objeto el estudio de la performance y persistencia de los fondos de inversión inmobiliaria españoles, desde el inicio de su actividad a finales de 1994 hasta 2005. Utilizamos el alfa de Jensen en una versión alternativa a la tradicional que incluye índices adicionales y la aproximación mediante tablas de contingencia acompañada de varios contrastes específicos al efecto. Los resultados obtenidos muestran que el conjunto de fondos para el mismo nivel de riesgo ofrece rentabilidades inferiores a las del mercado, si bien analizados de forma individual dos de ellos muestran alfas positivas y significativas. En cuanto a la persistencia de los rendimientos se confirma su existencia a muy corto plazo. The purpose of this paper is to study the performance and persistence of the Spanish Real Estate Mutual Funds universe from the beginning of their activity -ends of 1994- to march 2005. We adopt a modified version of Jensen’s alpha, where the traditional market model is augmented with additional indices, and the winner-loser contingency tables methodology together with several specific persistence tests. The results show that the overall mutual funds deliver a negative abnormal risk-adjusted performance. There is evidence of persistence in the very short-term.

Suggested Citation

  • Lopez, M. C. & Lopez, C. & Maside, J. M., 2006. "Los fondos de inversion inmobiliaria en España 1994-2005: Analisis del rendimiento y persistencia," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 6(2).
  • Handle: RePEc:eaa:eerese:v:6:y2006:i:6_12

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    Real Estate Mutual Funds; Performance; Persistence;

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General


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