Los fondos de inversion inmobiliaria en España 1994-2005analisis del rendimiento y persistencia
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Universidade de Santiago de Compostela
info
ISSN: 1578-4460
Datum der Publikation: 2006
Ausgabe: 6
Nummer: 2
Seiten: 73-100
Art: Artikel
Andere Publikationen in: Estudios Economicos Regionales y Sectoriales : EERS: Regional and sectoral economic studies : RSES
Zusammenfassung
The purpose of this paper is to study the performance and persistence of the Spanish Real Estate Mutual Funds universe from the beginning of their activity -ends of 1994- to march 2005. We adopt a modified version of Jensen’s alpha, where the traditional market model is augmented with additional indices, and the winner-loser contingency tables methodology together with several specific persistence tests. The results show that the overall mutual funds deliver a negative abnormal risk-adjusted performance. There is evidence of persistence in the very short-term.