Real Estate Mutual Funds: Performance and Persistence

26 Pages Posted: 4 Jan 2007

See all articles by Crystal Yan Lin

Crystal Yan Lin

Eastern Illinois University - School of Business

Kenneth Yung

Old Dominion University - Finance

Abstract

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.

Keywords: mutual fund, real estate, performance

JEL Classification: C31,C33,C41,C35,C51,C52,C53,D23,D81,E17,E31,E32

Suggested Citation

Lin, Crystal Yan and Yung, Kenneth, Real Estate Mutual Funds: Performance and Persistence. Journal of Real Estate Research, Vol. 26, No. 1, 2004. Available at SSRN: https://ssrn.com/abstract=954788

Crystal Yan Lin (Contact Author)

Eastern Illinois University - School of Business ( email )

Charleston, IL 61920-3099
United States

Kenneth Yung

Old Dominion University - Finance ( email )

School of Business and Public Administration
Norfolk, VA 23529-0222
United States
757-683-3573 (Phone)

Register to save articles to
your library

Register

Paper statistics

Downloads
433
Abstract Views
2,386
rank
66,768
PlumX Metrics