Alpha and Persistence in Real Estate Fund Performance
Author
Abstract
Suggested Citation
DOI: 10.1007/s11146-009-9230-y
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Kallberg, Jarl G. & Liu, Crocker L. & Trzcinka, Charles, 2000.
"The Value Added from Investment Managers: An Examination of Funds of REITs,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 35(03), pages 387-408, September.
- Jarl G. Kallberg & Crocker H. Liu & Charlese Trzcinka, 1999. "The Value Added from Investment Managers: an Examination of Funds of REITs," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-080, New York University, Leonard N. Stern School of Business-.
- Grossman, Sanford J & Stiglitz, Joseph E, 1980.
"On the Impossibility of Informationally Efficient Markets,"
American Economic Review,
American Economic Association, vol. 70(3), pages 393-408, June.
- Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
- Brown, Stephen J & Goetzmann, William N, 1995.
" Performance Persistence,"
Journal of Finance,
American Finance Association, vol. 50(2), pages 679-698, June.
- William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management.
- Soosung Hwang & Pa Mitchell & Soosung Hwang & Paul Mitchell, 2007. "Will Private Equity and Hedge Funds Replace Real Estate in Mixed-Asset Portfolios?," ERES eres2007_154, European Real Estate Society (ERES).
- Dirk Brounen & Piet Eichholtz & David Ling, 2007. "Trading Intensity and Real Estate Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 35(4), pages 449-474, November.
- Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Mark M. Carhart & Jennifer N. Carpenter & Anthony W. Lynch & David K. Musto, 2002. "Mutual Fund Survivorship," Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1439-1463.
- Shaun A. Bond & Soosung Hwang, 2007.
"Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Indices,"
Real Estate Economics,
American Real Estate and Urban Economics Association, vol. 35(3), pages 349-382, September.
- Soosung Hwang & Shaun Bond, 2005. "Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggreagation in Real Estate Price Indices," Working Papers wp05-17, Warwick Business School, Finance Group.
- repec:arz:wpaper:eres2007-154 is not listed on IDEAS
- Steven Devaney & Stephen Lee & Michael Young, 2004. "Serial Persistence in Individual Real Estate Returns in the UK," Real Estate & Planning Working Papers rep-wp2004-13, Henley Business School, Reading University.
- Grinblatt, Mark & Titman, Sheridan D, 1989.
"Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings,"
The Journal of Business,
University of Chicago Press, vol. 62(3), pages 393-416, July.
- Mark Grinblatt & Sheridan Titman, "undated". "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Rodney L. White Center for Financial Research Working Papers 23-88, Wharton School Rodney L. White Center for Financial Research.
- Crystal Yan Lin & Kenneth Yung, 2004. "Real Estate Mutual Funds: Performance and Persistence," Journal of Real Estate Research, American Real Estate Society, vol. 26(1), pages 69-94.
- Louis K. C. Chan & Stephen G. Dimmock & Josef Lakonishok, 2009.
"Benchmarking Money Manager Performance: Issues and Evidence,"
Review of Financial Studies,
Society for Financial Studies, vol. 22(11), pages 4553-4599, November.
- Josef Lakonishok & Louis Chan & Stephen G. Dimmock, 2006. "Benchmarking Money Manager Performance: Issues and Evidence," NBER Working Papers 12461, National Bureau of Economic Research, Inc.
- John G. Gallo & Larry J. Lockwood & Ronald C. Rutherford, 2000. "Asset Allocation and the Performance of Real Estate Mutual Funds," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 28(1), pages 165-185.
- Robert Kosowski & Allan Timmermann & Russ Wermers & Hal White, 2006.
"Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis,"
Journal of Finance,
American Finance Association, vol. 61(6), pages 2551-2595, December.
- Kosowski, Robert & Timmermann, Allan & Wermers, Russ & White, Hal, 2005. "Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis," CFR Working Papers 05-14, University of Cologne, Centre for Financial Research (CFR).
- David C. Ling, 2005. "A Random Walk Down Main Street: Can Experts Predict Returns on Commercial Real Estate?," Journal of Real Estate Research, American Real Estate Society, vol. 27(2), pages 137-154.
- Jeffrey A. Busse & Paul J. Irvine, 2006. "Bayesian Alphas and Mutual Fund Persistence," Journal of Finance, American Finance Association, vol. 61(5), pages 2251-2288, October.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Andonov, Aleksandar & Eichholtz, Piet & Kok, Nils, 2015. "Intermediated investment management in private markets: Evidence from pension fund investments in real estate," Journal of Financial Markets, Elsevier, vol. 22(C), pages 73-103.
- Wen-Hsiu Chou & William Hardin, 2014. "Performance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds," The Journal of Real Estate Finance and Economics, Springer, vol. 49(3), pages 379-412, October.
- Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Jean-Luc Prigent & Donald Keenan & Mahdi Mokrane, 2017. "Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion," THEMA Working Papers 2017-20, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Lynn M. Fisher & David J. Hartzell, 2016. "Class Differences in Real Estate Private Equity Fund Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 52(4), pages 327-346, May.
More about this item
Keywords
Commercial real estate investment; Fund manager performance; R33; G11; G23;JEL classification:
- R33 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:41:y:2010:i:1:p:53-79. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.