Real Estate Mutual Funds: Performance and Persistence
Crystal Yan Lin
Eastern Illinois University - School of Business
Old Dominion University - Finance
Journal of Real Estate Research, Vol. 26, No. 1, 2004
This study analyses the performance of real estate mutual funds for 1993 through 2001 period. 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 the 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. The results also show that fund performance persists in the short term. In addition, risk-adjusted real estate fund returns are affected by fund size, but unrelated to expense ratio, management tenure and turnover.
Number of Pages in PDF File: 26
Keywords: mutual fund, real estate, performance
JEL Classification: C31,C33,C41,C35,C51,C52,C53,D23,D81,E17,E31,E32Accepted Paper Series
Date posted: January 4, 2007
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