Ipos and Mutual Fund Returns
35 Pages Posted: 3 Sep 2001
Date Written: August 2001
Recent research on mutual fund performance has ignored the impact of initial public offering on mutual fund performance. We show that the real estate mutual funds returns, at least in the 1990's, are almost entirely a function of REIT IPO returns, and that, after controlling for the REIT IPO returns, the real estate mutual funds exhibit no sensitivity to the Fama-French or momentum factors. We find that while REIT IPOs exhibited statistically significant long-run abnormal performance, real estate mutual funds did not.
Keywords: REIT, Asset Pricing, Valuation, Mutual Fund, IPO
JEL Classification: G10, G11, G12
Suggested Citation: Suggested Citation