NDLI: Dedicated REIT Mutual Fund Flows and REIT Performance

Content Provider	Springer Nature Link
Author	Ling, David C. Naranjo, Andy
Copyright Year	2006
Abstract	This study examines the effects of weekly and monthly capital flows into the dedicated REIT mutual fund sector on aggregate REIT returns and, simultaneously, the effects of industry-level REIT returns on subsequent REIT mutual fund flows. The dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) techniques. Unlike static regression techniques, our dynamic model produces estimates of the short-run relationships, long-run relationships, impulse response functions, and forecast variance decompositions. We find evidence that REIT mutual fund flows are positively and significantly related to prior returns, while prior REIT mutual fund flows do not significantly influence REIT returns. However, contemporaneous flows do appear to have an initial positive effect, which is partially reversed one period later. The positive contemporaneous effect, however, is the result of unexpected REIT mutual fund flows, while the expected portion is insignificant.
Starting Page	409
Ending Page	433
Page Count	25
File Format	PDF
ISSN	08955638
Journal	The Journal of Real Estate Finance and Economics
Volume Number	32
Issue Number	4
e-ISSN	1573045X
Language	English
Publisher	Kluwer Academic Publishers
Publisher Date	2006-04-04
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	REIT performance Flows Mutual fund Returns Regional Science Finance /Banking
Content Type	Text
Resource Type	Article
Subject	Finance Urban Studies Accounting Economics and Econometrics

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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