We thank Tom Springer (associate editor) and an anonymous referee for their valuable comments. We also thank participants at the Financial Management Association (2011) and Southern Finance Association (2010) meetings and are grateful to Donna Woodward at the SAS Institute for her timely support. All remaining errors are ours.
PERFORMANCE AND NEW MONEY CASH FLOWS IN REAL ESTATE MUTUAL FUNDS
Article first published online: 10 DEC 2013
© 2013 The Southern Finance Association and the Southwestern Finance Association
Journal of Financial Research
Volume 36, Issue 4, pages 453–470, Winter 2013
How to Cite
Kaushik, A. and Pennathur, A. K. (2013), PERFORMANCE AND NEW MONEY CASH FLOWS IN REAL ESTATE MUTUAL FUNDS. Journal of Financial Research, 36: 453–470. doi: 10.1111/jfir.12019
- Issue published online: 10 DEC 2013
- Article first published online: 10 DEC 2013
Empirical evidence on the performance of real estate mutual funds is mixed. Moreover, despite the growth of new money cash flows into the funds, research on investor rationales for the same is limited. Recent research in diversified mutual funds suggests that conventional statistics give misleading results and wrongly attribute fund performance to “skill” rather than to “luck.” Using cross-sectional bootstrap methodology for 1990–2009, our estimates show evidence of underperformance. Moreover, it appears that ordinary least squares regressions understate the number of underperforming funds. Our analysis of new money cash flows shows evidence of momentum in fund flows and returns-chasing behavior.