Abstract

http://ssrn.com/abstract=1668880
 
 

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Can Fund Managers Select Outperforming REITs? Examining Fund Holdings and Trades


Gjergji Cici


College of William and Mary - Mason School of Business

John B. Corgel


Cornell University

Scott Gibson


College of William and Mary - Mason School of Business

August 30, 2010

Real Estate Economics, Forthcoming

Abstract:     
Despite at least six empirical studies published since 2000 designed to assess fund managers’ REIT selection ability, their skill remains in question. Unlike previous studies, we examine fund holdings and trades of REITs to answer this question. This approach allows us to explicitly account for portfolio rebalancing that alters REIT-characteristic weights of fund portfolios. Results show that fund managers, after controlling for property type, size, and momentum, generated significant positive alpha with their securities selection ability. To understand the sources of such ability, we examine whether fund managers who followed certain trading strategies outperformed relative to other managers. The potential trading strategies are based on public information related to geographic concentration, NAV-to-price ratios, income and appreciation styles, and leverage of the underlying REITs. Comparative and regression analyses show that none of the strategies fully explains why fund managers were able to select REITs that outperformed. We surmise that the outperformance mainly derives from the endemic abilities of managers to uniquely process REIT-specific information and generate private valuation beliefs that lead to profitable investment decisions.

Accepted Paper Series


Not Available For Download

Date posted: August 31, 2010 ; Last revised: September 15, 2011

Suggested Citation

Cici, Gjergji and Corgel, John B. and Gibson, Scott, Can Fund Managers Select Outperforming REITs? Examining Fund Holdings and Trades (August 30, 2010). Real Estate Economics, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1668880

Contact Information

Gjergji Cici
College of William and Mary - Mason School of Business ( email )
P.O. Box 8795
Williamsburg, VA 23187-8795
United States
757-221-1826 (Phone)
John B. Corgel (Contact Author)
Cornell University ( email )
School of Hotel Administration
Ithaca, NY 14853
United States
607-255-4305 (Phone)
607-255-4179 (Fax)
George Scott Gibson
College of William and Mary - Mason School of Business ( email )
P.O. Box 8795
Williamsburg, VA 23187-8795
United States
757/221-1673 (Phone)
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