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Asset Allocation and the Performance of Real Estate Mutual Funds
16 references·8 citing·39 second hop
Asset Allocation and the Performance of Real Estate Mutual Funds (2000)Asset Allocation and the Performance of R…Modern Investment Theory (2014)Modern Investment TheoryREIT Style and Performance (1998)REIT Style and PerformanceDo Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs? (1997)Do Common Risk Factors in the…A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques (1994)A Study of Monthly Mutual Fun…The Performance of Bond Mutual Funds (1993)The Performance of Bond Mutua…The Investment Performance of Low‐grade Bond Funds (1991)The Investment Performance of…The Investment Performance of Low-Grade Bond Funds (1991)The Investment Performance of…Determinants of Portfolio Performance II: An Update (1991)Determinants of Portfolio Per…THE PERFORMANCE OF REAL ESTATE AS AN ASSET CLASS (1990)THE PERFORMANCE OF REAL ESTAT…Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Mutual Fund Performance: An A…Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Mutual Fund Performance Evalu…The Financial Performance Of Real Estate Investment Trusts (1986)The Financial Performance Of …Using daily stock returns (1985)Using daily stock returnsA critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …Mutual Fund Performance (1966)Mutual Fund PerformancePerformance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds (2013)Performance Chasing, Fund Flo…Can Fund Managers Select Outperforming REITs? Examining Fund Holdings and Trades (2011)Can Fund Managers Select Outp…On the Comovement of REIT Prices (2010)On the Comovement of REIT Pri…Alpha and Persistence in Real Estate Fund Performance (2010)Alpha and Persistence in Real…Performance Analysis of Listed Construction and Real Estate Companies in Nigeria (2006)Performance Analysis of Liste…Manager characteristics and real estate mutual fund returns, risk and fees (2006)Manager characteristics and r…Factors Influencing the Performance of Listed Property Trusts (2005)Factors Influencing the Perfo…REITs in the decentralized investment industry (2002)REITs in the decentralized in…The relationship between return and market value of common stocks (1981)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The information content of funds from operations (FFO) for real estate investment trusts (REITs) (1999)Intra-industry momentum: the case of REITs (2003)Multivariate Modeling of Daily REIT Volatility (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Modern Portfolio Theory and Investment Analysis. (1982)Fundamental Economic Variables, Expected Returns, and Bond Fund Performance (1995)A First Look at the Accuracy of the CRSP Mutual Fund Database and a Comparison of the CRSP and Morningstar Mutual Fund Databases (2001)Do Female Mutual Fund Managers Manage Differently? (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)An Empirical Evaluation of Accounting Income Numbers (1968)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)Efficient Capital Markets: II (1991)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)Mutual fund performance and seemingly unrelated assets (2002)Is Money Really 'Smart'? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance Persistence (2003)The Determinants of Mutual Fund Performance: A Cross-Country Study (2012)Institutional trades and intraday stock price behavior (1993)Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance? (2000)Beyond Greed and Fear (2002)Portfolio Performance Evaluation: Old Issues and New Insights (1989)Survivor Bias and Mutual Fund Performance (1996)Mutual fund styles (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1985Using daily stock returns6,497 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1989Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings1,349 cited
  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
  • 1991Determinants of Portfolio Performance II: An Update634 cited
  • 1987Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons581 cited
  • 1994A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques474 cited
  • 1993The Performance of Bond Mutual Funds464 cited
  • 1997Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?210 cited
  • 1991The Investment Performance of Low-Grade Bond Funds183 cited
  • 1991The Investment Performance of Low‐grade Bond Funds154 cited
  • 1990THE PERFORMANCE OF REAL ESTATE AS AN ASSET CLASS135 cited
  • 1998REIT Style and Performance74 cited
  • 1986The Financial Performance Of Real Estate Investment Trusts69 cited

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2014
Modern Investment Theory
64 cited

Cited by

  • 2002REITs in the decentralized investment industry55 cited
  • 2010Alpha and Persistence in Real Estate Fund Performance54 cited
  • 2011Can Fund Managers Select Outperforming REITs? Examining Fund Holdings and Trades41 cited
  • 2010On the Comovement of REIT Prices37 cited
  • 2005Factors Influencing the Performance of Listed Property Trusts30 cited
  • 2006Manager characteristics and real estate mutual fund returns, risk and fees28 cited
  • 2006Performance Analysis of Listed Construction and Real Estate Companies in Nigeria28 cited
  • 2013Performance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds26 cited