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PERFORMANCE AND NEW MONEY CASH FLOWS IN REAL ESTATE MUTUAL FUNDS
Author(s) -
Kaushik Abhay,
Pennathur Anita K.
Publication year - 2013
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/jfir.12019
Subject(s) - closed end fund , cash flow , economics , mutual fund , business , momentum (technical analysis) , econometrics , luck , monetary economics , financial economics , finance , market liquidity , philosophy , theology
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.