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

Published online by Cambridge University Press:  06 April 2009

Jarl G. Kallberg ,
Crocker L. Liu  and
Charles Trzcinka
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Abstract

This paper empirically analyzes REIT mutual funds. We show that, contrary to mostmutual fund studies, the average and median alphas (net of expenses) are positive. We also findthat 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-varing alphas and find that both increase with assets and turnover. Cross-sectinally, we find that actively managed funds have higher alphas than passively managed funds.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 35 , Issue 3 , September 2000 , pp. 387 - 408
Copyright
Copyright © School of Business Administration, University of Washington 2000

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Footnotes

*

Kallberg and Liu, kaufman management Education Center, Suite 9-190, Stern School of Business, New York University, 44 W 4th St., New York, NY 10012; Trzcinka, Kelley School of Business, Indiana University, 1309 E 10th St., Bloomington, IN 47405. We are grateful to Greg Udell and Martin J. Gruber for their comments. Numerous improvements are also due to the comments of Stephen Brown (the editor)and William Goetzmann (associate editor and referee). We thank Gary Holt of the Frank Russell Company for providing return data and Cindy Chin and Yonca Ertimur for research assistance. This study was supported by a Summer Research Grant from the Stern School of Business.

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