Separating Skill from Luck in REIT Mutual Funds

Luke Layfield () and Simon Stevenson ()
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Luke Layfield: Aviva Investors
Simon Stevenson: School of Real Estate & Planning, Henley Business School, University of Reading

Real Estate & Planning Working Papers from Henley Business School, University of Reading

Abstract: This study uses a bootstrap methodology to explicitly distinguish between skill and luck for 80 Real Estate Investment Trust Mutual Funds in the period January 1995 to May 2008. The methodology successfully captures non-normality in the idiosyncratic risk of the funds. Using unconditional, beta conditional and alpha-beta conditional estimation models, the results indicate that all but one fund demonstrates poor skill. Tests of robustness show that this finding is largely invariant to REIT market conditions and maturity.

Pages: 26 pages
Date: 2011
New Economics Papers: this item is included in nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:rdg:repxwp:rep-wp2011-05

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