Abstract

REIT Momentum and the Performance of Real Estate Mutual Funds

Jeroen Derwall
Tilburg University, School of Economics; European Centre for Corporate Engagement; Maastricht University

Joop Huij
Rotterdam School of Management, Erasmus University; Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

Dirk Brounen
Erasmus University Rotterdam (EUR) - Department of Financial Management; Erasmus Research Institute of Management (ERIM) - Joint Research Institute of Rotterdam School of Management (RSM) and Erasmus School of Economics (ESE), EUR; Tinbergen Institute

Wessel Marquering
Erasmus University Rotterdam (EUR) - Department of Financial Management

Financial Analysts Journal, Forthcoming

Abstract:
REITs exhibit a large and prevalent momentum effect that is not captured by conventional factor models. We show that this REIT momentum anomaly hampers proper judgments about the active management of REIT portfolios. By contrast, a REIT momentum factor and the factors from the Fama and French (1993) model jointly do a good job of describing the performance of REIT portfolios. Using this model, we find that REIT momentum explains a great deal of the abnormal returns that actively managed REIT mutual funds earn in aggregate according to earlier related studies. Accounting for exposure to REIT momentum also materially influences cross-sectional comparisons of the performance of REIT mutual funds.

Keywords: momentum, performance, mutual funds, REITs

JEL Classifications: G12, G14, G20

Accepted Paper Series

Date posted: March 25, 2009 ; Last revised: March 25, 2009

Suggested Citation

Derwall, Jeroen, Huij, Joop, Brounen, Dirk and Marquering, Wessel A., REIT Momentum and the Performance of Real Estate Mutual Funds (March 25, 2009). Financial Analysts Journal, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1368116

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Contact Information

Joop Huij (Contact Author) Rotterdam School of Management, Erasmus University ( email ) P.O. Box 1738 Rotterdam 3000 DR Netherlands HOME PAGE: http://www.rsm.nl/jhuij
Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM) ( email ) P.O. Box 1738 Rotterdam 3000 DR Netherlands
Dirk Brounen Erasmus University Rotterdam (EUR) - Department of Financial Management ( email ) P.O. Box 1738 Room T09-53 3000 DR Rotterdam Netherlands
Erasmus Research Institute of Management (ERIM) - Joint Research Institute of Rotterdam School of Management (RSM) and Erasmus School of Economics (ESE), EUR ( email ) P.O. Box 1738 3000 DR Rotterdam Netherlands +31 1 0408 2371 (Phone) +31 1 0408 9017 (Fax) HOME PAGE: http://web.eur.nl/fbk/dep/dep5/faculty/dbrounen
Tinbergen Institute ( email ) Burg. Oudlaan 50 Rotterdam 3062 PA Netherlands 120-551-3535 (Phone)
Jeroen Derwall Tilburg University, School of Economics ( email ) P.O. Box 90153 NL-5000 LE Tilburg, Brabant Netherlands HOME PAGE: http://www.tilburguniversity.nl/webwijs/show/?uid=j.m.m.derwall
European Centre for Corporate Engagement FEBA Tongersestraat 53 Maastricht, Limburg 6200MD Netherlands HOME PAGE: http://www.corporate-engagement.com/
Maastricht University ( email ) Maastricht 6200 MD Netherlands HOME PAGE: http://www.fdewb.unimaas.nl/finance/?page=member&id=175
Wessel A. Marquering Erasmus University Rotterdam (EUR) - Department of Financial Management ( email ) P.O. Box 1738 F4-26 Rotterdam 3000 DR Netherlands +31 10 408 2786 (Phone) +31 10 408 9017 (Fax)

Abstract

Date posted: March 25, 2009 ; Last revised: March 25, 2009

Suggested Citation

Contact Information

Joop Huij (Contact Author)

Dirk Brounen

Jeroen Derwall

Wessel A. Marquering