REIT Unit Investment Trusts and Fund Manager Skill

被引：0
作者：
Luchtenberg, Kimberly F. [1 ]
机构：
[1] Amer Univ, Kogod Sch Business, Finance & Real Estate, Washington, DC 20016 USA
来源：
JOURNAL OF ALTERNATIVE INVESTMENTS | 2022年 / 25卷 / 01期
关键词：
REAL-ESTATE; LONG-TERM; PRIVATE; PERFORMANCE; PERSISTENCE; INFORMATION; RETURNS; LIQUIDITY; DYNAMICS; FLOWS;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article examines fund manager skill using a sample of real estate investment trust unit investment trusts (REIT UITs). Since REIT UITs are limited to a single industry and since the fund managers do not trade, REIT UITs present an ideal sample to study fund manager stock-selection skill. Using a hand-collected sample of REIT UITs from May 2009 to July 2015, this article finds that REIT UITs do not deliver a statistically significant positive alpha. This is the first article to investigate fund manager stock-selection skill in REIT UITs and contributes to the literature evaluating the effectiveness of active fund management.
引用
收藏
页码：129 / 147
页数：19
相关论文
共 47 条
  • [1] PRICE DISCOVERY IN AMERICAN AND BRITISH PROPERTY MARKETS
    BARKHAM, R
    GELTNER, D
    [J]. REAL ESTATE ECONOMICS, 1995, 23 (01) : 21 - 44
  • [2] Short-term persistence in mutual fund performance
    Bollen, NPB
    Busse, JA
    [J]. REVIEW OF FINANCIAL STUDIES, 2005, 18 (02) : 569 - 597
  • [3] Alpha and Persistence in Real Estate Fund Performance
    Bond, Shaun A.
    Mitchell, Paul
    [J]. JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2010, 41 (01) : 53 - 79
  • [4] Trading intensity and real estate performance
    Brounen, Dirk
    Eichholtz, Piet
    Ling, David C.
    [J]. JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2007, 35 (04) : 449 - 474
  • [5] On persistence in mutual fund performance
    Carhart, MM
    [J]. JOURNAL OF FINANCE, 1997, 52 (01) : 57 - 82
  • [6] Further evidence on the performance of funds of funds: The case of real estate mutual funds
    Chiang, Kevin C. H.
    Kozhevnikov, Kirill
    Lee, Ming-Long
    Wisen, Craig H.
    [J]. REAL ESTATE ECONOMICS, 2008, 36 (01) : 47 - 61
  • [7] Performance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds
    Chou, Wen-Hsiu
    Hardin, William G., III
    [J]. JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2014, 49 (03) : 379 - 412
  • [8] Can Fund Managers Select Outperforming REITs? Examining Fund Holdings and Trades
    Cici, Gjergji
    Corgel, Jack
    Gibson, Scott
    [J]. REAL ESTATE ECONOMICS, 2011, 39 (03) : 455 - 486
  • [9] The performance of equity unit investment trusts
    Comer, George
    Rodriguez, Javier
    [J]. MANAGERIAL FINANCE, 2019, 45 (04) : 470 - 483
  • [10] Controlling for Fixed-Income Exposure in Portfolio Evaluation: Evidence from Hybrid Mutual Funds
    Comer, George
    Larrymore, Norris
    Rodriguez, Javier
    [J]. REVIEW OF FINANCIAL STUDIES, 2009, 22 (02) : 481 - 507
12345