Separating skill from luck in REIT mutual funds

Layfield, L. and Stevenson, S., (2011) Separating skill from luck in REIT mutual funds. Working Papers in Real Estate & Planning. 06/11. Working Paper. University of Reading, Reading. pp33.

Abstract/Summary

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.

Item Type	Report (Working Paper)
URI	https://reading-clone.eprints-hosting.org/id/eprint/26967
Item Type	Report
Divisions	Henley Business School > Real Estate and Planning
Publisher	University of Reading
Publisher Statement	The copyright of each working paper remains with the author. If you wish to quote from or cite any paper please contact the appropriate author; in some cases a more recent version of the paper may have been published elsewhere.
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