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The Value Added from Investment Managers: An Examination of Funds of REITs

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dc.contributor.authorKallberg, Jarl G.
dc.contributor.authorLiu, Crocker H.
dc.contributor.authorTrzcinka, Charles
dc.date.accessioned2020-09-12T21:03:28Z
dc.date.available2020-09-12T21:03:28Z
dc.date.issued2000-09-01
dc.description.abstractThis paper empirically analyzes REIT mutual funds. We show that, contrary to most mutual fund studies, the average and median alphas (net of expenses) are positive. We also find that time-varying positive alphas are much more likely to occur when the real asset market is performing poorly, suggesting that managers add more value in down markets than in up markets. We examine the cross-sectional determinants of both standard alphas and the average of time-varying alphas and find that both increase with assets and turnover. Cross-sectionally, we find that actively managed funds have higher alphas than passively managed funds.
dc.description.legacydownloadsLiu10_The_Value_Added_From_Investment_Managers.pdf: 1105 downloads, before Aug. 1, 2020.
dc.identifier.other4751842
dc.identifier.urihttps://hdl.handle.net/1813/71572
dc.language.isoen_US
dc.rightsRequired Publisher Statement: © Cambridge University Press. Reprinted with permission. All rights reserved.
dc.subjectmutual funds
dc.subjectreal estate market
dc.subjectvalue
dc.subjectinvestment managers
dc.titleThe Value Added from Investment Managers: An Examination of Funds of REITs
dc.typearticle
local.authorAffiliationKallberg, Jarl G.: New York University
local.authorAffiliationLiu, Crocker H.: chl62@cornell.edu Cornell University
local.authorAffiliationTrzcinka, Charles: Indiana University

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