REIT Momentum and the Performance of Real Estate Mutual Funds

34 Pages Posted: 17 Jul 2008 Last revised: 10 Jun 2009

See all articles by Jeroen Derwall

Jeroen Derwall

Maastricht University - European Centre for Corporate Engagement; Maastricht University - Department of Finance; The Open University of the Netherlands

Joop Huij

Erasmus University - Rotterdam School of Management; Robeco; 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); Tinbergen Institute

Wessel Marquering

Erasmus University Rotterdam (EUR) - Department of Financial Management

Multiple version iconThere are 2 versions of this paper

Date Written: July 16, 2008

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 provides incremental explanatory power to performance attribution models for REIT portfolios. Using this factor, 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. Our results have important implications for performance evaluation, alpha-beta separation, and manager selection and compensation.

Keywords: momentum, performance, mutual funds, REITs

Suggested Citation

Derwall, Jeroen and Huij, Joop and Brounen, Dirk and Marquering, Wessel A., REIT Momentum and the Performance of Real Estate Mutual Funds (July 16, 2008). ERIM Report Series Reference. Available at SSRN: https://ssrn.com/abstract=1161160 or http://dx.doi.org/10.2139/ssrn.1161160

Jeroen Derwall (Contact Author)

Maastricht University - European Centre for Corporate Engagement ( email )

FEBA
Tongersestraat 53
Maastricht, Limburg 6200MD
Netherlands

HOME PAGE: http://www.corporate-engagement.com/

Maastricht University - Department of Finance ( email )

Maastricht, 6200 MD
Netherlands

HOME PAGE: http://www.fdewb.unimaas.nl/finance/?page=member&id=175

The Open University of the Netherlands

Valkenburgerweg 177
Heerlen, NL-6401DL
Netherlands

Joop Huij

Erasmus University - Rotterdam School of Management ( email )

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

HOME PAGE: http://www.rsm.nl/jhuij

Robeco

Rotterdam, 3014DA
Netherlands

HOME PAGE: http://www.robeco.com/

Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

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) ( 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)

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)

Register to save articles to
your library

Register

Paper statistics

Downloads
881
Abstract Views
4,270
rank
26,272
PlumX Metrics