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Further Evidence on the Performance of Funds of Funds: The Case of Real Estate Mutual Funds
16 references·3 citing·40 second hop
Further Evidence on the Performance of Funds of Funds: The Case of Real Estate Mutual Funds (2008)Further Evidence on the Performance of Fu…Real Estate Risk Exposure of Equity Real Estate Investment Trusts (2007)Real Estate Risk Exposure of …REITs, IPO Waves and Long-Run Performance (2005)REITs, IPO Waves and Long-Run…On the Time‐Series Properties of Real Estate Investment Trust Betas (2005)On the Time‐Series Properties…Real Estate Mutual Funds: Performance and Persistence (2004)Real Estate Mutual Funds: Per…Another Look at the Asymmetric REIT-Beta Puzzle (2004)Another Look at the Asymmetri…Fees on Fees in Funds of Funds (2003)Fees on Fees in Funds of FundsRisk Management for Hedge Funds: Introduction and Overview (2001)Risk Management for Hedge Fun…Trading Volume and Cross‐Autocorrelations in Stock Returns (2000)Trading Volume and Cross‐Auto…The Value Added from Investment Managers: An Examination of Funds of REITs (2000)The Value Added from Investme…The Integration of Commercial Real Estate Markets and Stock Markets (1999)The Integration of Commercial…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Economic Risk Factors and Commercial Real Estate Returns (1997)Economic Risk Factors and Com…Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs? (1997)Do Common Risk Factors in the…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Determinants of Portfolio Performance II: An Update (1991)Determinants of Portfolio Per…Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey (2017)Diversification benefit and r…Performance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds (2013)Performance Chasing, Fund Flo…Real Estate Investment Trusts (2010)Real Estate Investment TrustsOn Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Risks and Portfolio Decisions Involving Hedge Funds (2003)Systemic Risk and Hedge Funds (2007)Diversification in Funds of Hedge Funds: Is It Possible to Overdiversify? (2011)Out of the Dark: Hedge Fund Reporting Biases and Commercial Databases (2012)The relationship between return and market value of common stocks (1981)The Cross-Section of Expected Stock Returns (1992)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)A Random Walk Down Wall Street (1973)The Econometrics of Financial Markets (1997)The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective (2004)What Happened to the Quants in August 2007? (2007)Do the Best Hedge Funds Hedge? (2010)The Econometrics of Financial Markets (2012)Risk measurement when shares are subject to infrequent trading (1979)The Relation Between Price Changes and Trading Volume: A Survey (1987)When Are Contrarian Profits Due to Stock Market Overreaction? (1990)What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010)Short Selling and the Price Discovery Process (2012)International Stock Return Predictability: What Is the Role of the United States? (2013)Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices (2003)The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns (2003)Markets contagion during financial crisis: A regime-switching approach (2010)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)Investor Psychology and Asset Pricing (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Presidential Address: Discount Rates (2011)Multifactor Explanations of Asset Pricing Anomalies (1996)The Variation of Economic Risk Premiums in Real Estate Returns (1998)International Real Estate Returns: A Multifactor, Multicountry Approach (2003)Are REITs real estate? Evidence from international sector level data (2012)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,572 cited
  • 2000Trading Volume and Cross‐Autocorrelations in Stock Returns721 cited
  • 1991Determinants of Portfolio Performance II: An Update634 cited
  • 2001Risk Management for Hedge Funds: Introduction and Overview379 cited
  • 1999The Integration of Commercial Real Estate Markets and Stock Markets290 cited
  • 1997Economic Risk Factors and Commercial Real Estate Returns220 cited
  • 1997Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?210 cited
  • 2003Fees on Fees in Funds of Funds135 cited
  • 2000The Value Added from Investment Managers: An Examination of Funds of REITs114 cited
  • 2007Real Estate Risk Exposure of Equity Real Estate Investment Trusts92 cited
  • 2004Real Estate Mutual Funds: Performance and Persistence82 cited
  • 2005On the Time‐Series Properties of Real Estate Investment Trust Betas

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74 cited
  • 2005REITs, IPO Waves and Long-Run Performance71 cited
  • 2004Another Look at the Asymmetric REIT-Beta Puzzle42 cited
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    • 2017Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey31 cited
    • 2013Performance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds26 cited
    • 2010Real Estate Investment Trusts17 cited