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Dedicated REIT Mutual Fund Flows and REIT Performance

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Author Info
David Ling ()
Andy Naranjo ()
Abstract

This study examines the effects of weekly and monthly capital flows into the dedicated REIT mutual fund sector on aggregate REIT returns and, simultaneously, the effects of industry-level REIT returns on subsequent REIT mutual fund flows. The dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) techniques. Unlike static regression techniques, our dynamic model produces estimates of the short-run relationships, long-run relationships, impulse response functions, and forecast variance decompositions. We find evidence that REIT mutual fund flows are positively and significantly related to prior returns, while prior REIT mutual fund flows do not significantly influence REIT returns. However, contemporaneous flows do appear to have an initial positive effect, which is partially reversed one period later. The positive contemporaneous effect, however, is the result of unexpected REIT mutual fund flows, while the expected portion is insignificant. Copyright Springer Science + Business Media, LLC 2006

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File URL: http://hdl.handle.net/10.1007/s11146-006-6960-y
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Publisher Info
Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 32 (2006)
Issue (Month): 4 (June)
Pages: 409-433
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:jrefec:v:32:y:2006:i:4:p:409-433

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Web page: http://www.springerlink.com/link.asp?id=102945

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Related research
Keywords: REIT performance; Flows; Mutual fund; Returns;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Cha, Heung-Joo & Lee, Bong-Soo, 2001. "The Market Demand Curve for Common Stocks: Evidence from Equity Mutual Fund Flows," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(02), pages 195-220, June. [Downloadable!]
  2. William N. Goetzmann & Massimo Massa & K. Geert Rouwenhorst, 2000. "Behavioral Factors in Mutual Fund Flows," Yale School of Management Working Papers ysm135, Yale School of Management. [Downloadable!]
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  3. David Ling & Andy Naranjo, 2003. "The Dynamics of REIT Capital Flows and Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(3), pages 405-434, 09. [Downloadable!] (restricted)
  4. William N. Goetzmann & Massimo Massa, 2003. "Index Funds and Stock Market Growth," Journal of Business, University of Chicago Press, vol. 76(1), pages 1-28, January. [Downloadable!]
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  5. Eli M. Remolona & Paul Kleiman & Debbie Gruenstein, 1997. "Market returns and mutual fund flows," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 33-52. [Downloadable!]
  6. Froot, Kenneth A. & O'Connell, Paul G. J. & Seasholes, Mark S., 2001. "The portfolio flows of international investors," Journal of Financial Economics, Elsevier, vol. 59(2), pages 151-193, February. [Downloadable!] (restricted)
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  7. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March. [Downloadable!] (restricted)
  8. Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, 04. [Downloadable!] (restricted)
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  9. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jim Clayton & David Ling & Andy Naranjo, 2009. "Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment," The Journal of Real Estate Finance and Economics, Springer, vol. 38(1), pages 5-37, January. [Downloadable!] (restricted)
  2. David Ling & Gianluca Marcato & Patrick McAllister, 2008. "The Dynamics of Asset Prices and Transaction Activity in Illiquid Markets: The Case of Private Commercial Real Estate," Real Estate & Planning Working Papers rep-wp2008-11, Henley Business School, Reading University. [Downloadable!]
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