REIT Momentum and the Performance of Real Estate Mutual Funds

JMM Derwall, Joop Huij, D Brounen, WA (Wessel) Marquering

Research output: Contribution to journalArticleAcademicpeer-review

25 Citations (Scopus)

Abstract

REITs exhibit a large and prevalent momentum effect that is not captured by conventional factor models. We show that this REIT momentum anomaly hampers proper judgments about the active management of REIT portfolios. By contrast, a REIT momentum factor provides incremental explanatory power to performance attribution models for REIT portfolios. Using this factor, we find that REIT momentum explains a great deal of the abnormal returns that actively managed REIT mutual funds earn in aggregate according to earlier related studies. Accounting for exposure to REIT momentum also materially influences cross-sectional comparisons of the performance of REIT mutual funds. Our results have important implications for performance evaluation, alpha-beta separation, and manager selection and compensation.
Original languageUndefined/Unknown
Pages (from-to)24-34
Number of pages11
JournalFinancial Analysts Journal
Volume65
Issue number5
DOIs
Publication statusPublished - 2009

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