Los fondos de inversion inmobiliaria en España 1994-2005analisis del rendimiento y persistencia

  1. María Celia LÓPEZ PENABAD 1
  2. Carmen LÓPEZ ANDIÓN 1
  3. José Manuel MASIDE SANFIZ 1
  1. 1 Universidade de Santiago de Compostela
    info

    Universidade de Santiago de Compostela

    Santiago de Compostela, España

    ROR https://ror.org/030eybx10

Journal:
Estudios Economicos Regionales y Sectoriales : EERS: Regional and sectoral economic studies : RSES

ISSN: 1578-4460

Year of publication: 2006

Volume: 6

Issue: 2

Pages: 73-100

Type: Article

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More publications in: Estudios Economicos Regionales y Sectoriales : EERS: Regional and sectoral economic studies : RSES

Abstract

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.

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