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Real Estate Mutual Funds: Performance and Persistence

Author

Listed:
  • Crystal Yan Lin

    (Old Dominion University, Norfolk, VA 23529)

  • Kenneth Yung

    (Old Dominion University, Norfolk, VA 23529)

Abstract

This paper studies performance of real estate mutual funds between 1993 and 2001. 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 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. Our results also show fund performance persists in the short term. Risk-adjusted real estate fund returns are affected by fund size, but unrelated to expense ratio, management tenure, and turnover.

Suggested Citation

  • Crystal Yan Lin & Kenneth Yung, 2004. "Real Estate Mutual Funds: Performance and Persistence," Journal of Real Estate Research, American Real Estate Society, vol. 26(1), pages 69-94.
    • Handle: RePEc:jre:issued:v:26:n:1:2004:p:69-94
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    Citations

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    Cited by:

    1. Wen-Hsiu Chou & William Hardin, 2014. "Performance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds," The Journal of Real Estate Finance and Economics, Springer, vol. 49(3), pages 379-412, October.
    2. Leonard Daniel Lin, 2013. "Do Specialised REITs Outperform Diversified REITs during the Credit Crunch?," ERES eres2013_3, European Real Estate Society (ERES).
    3. Viktoriya Lantushenko & Edward Nelling, 2020. "Active Management in Real Estate Mutual Funds," The Journal of Real Estate Finance and Economics, Springer, vol. 61(2), pages 247-274, August.
    4. Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2019. "Does it pay to pay performance fees? Empirical evidence from Dutch pension funds," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 299-312.
    5. Jianhua Gang & Liang Peng & Thomas G. Thibodeau, 2020. "Risk and Returns of Income Producing Properties: Core versus Noncore," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(2), pages 476-503, June.
    6. Kaserer, Christoph & Diller, Christian, 2004. "What drives cash flow based European private equity returns? Fund inflows, skilled GPs and/or risk?," CEFS Working Paper Series 2004-02, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    7. Ryan G. Chacon & Pratik Kothari & Thibaut G. Morillon, 2024. "Economies of Scale in the Real Estate Mutual Fund Industry," The Journal of Real Estate Finance and Economics, Springer, vol. 69(2), pages 228-252, August.
    8. Maiia Sleptcova & Heidi Falkenbach, 2021. "Managerial Skill and European PERE Fund Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 62(4), pages 665-690, May.
    9. Stephen Dempsey & David Harrison & Kimberly Luchtenberg & Michael Seiler, 2012. "Financial Opacity and Firm Performance: The Readability of REIT Annual Reports," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 450-470, August.
    10. Christian Diller & Christoph Kaserer, 2009. "What Drives Private Equity Returns?– Fund Inflows, Skilled GPs, and/or Risk?," European Financial Management, European Financial Management Association, vol. 15(3), pages 643-675, June.
    11. Yang-pin Shen & Chiuling Lu & Zong-Han Lin, 2012. "International Real Estate Mutual Fund Performance: Diversification or Costly Information?," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 394-413, April.
    12. Abhay Kaushik & Anita K. Pennathur, 2013. "Performance And New Money Cash Flows In Real Estate Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(4), pages 453-470, December.
    13. Bryan D. MacGregor & Rainer Schulz & Yuan Zhao, 2021. "Performance and Market Maturity in Mutual Funds: Is Real Estate Different?," The Journal of Real Estate Finance and Economics, Springer, vol. 63(3), pages 437-492, October.
    14. Nandita Das & Bernadette Ruf & Swarn Chatterjee & Aman Sunder, 2018. "Fund Characteristics and Performances of Socially Responsible Mutual Funds: Do ESG Ratings Play a Role?," Papers 1806.09906, arXiv.org, revised Feb 2023.
    15. Shaun Bond & Paul Mitchell, 2010. "Alpha and Persistence in Real Estate Fund Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 53-79, July.
    16. Jay C. Hartzell & Tobias Mühlhofer & Sheridan D. Titman, 2010. "Alternative Benchmarks for Evaluating Mutual Fund Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(1), pages 121-154, March.
    17. Yuan Zhao & Bryan D. Macgregor & Rainer Schulz, 2013. "Can US Real Estate Mutual Funds Beat the Market? New Evidence," ERES eres2013_335, European Real Estate Society (ERES).
    18. Elyasiani, Elyas & Rytchkov, Oleg & Stetsyuk, Ivan, 2022. "Do real estate mutual fund managers create value?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 396-406.

    More about this item

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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