Type of Document	Dissertation
Author	Price, Russell M
Author's Email Address	rmsprice@gmail.com
URN	etd-11062006-170029
Title	Holding Pattern: A Study of REIT and Real Estate Mutual Fund Performance
Degree	Doctor of Philosophy
Department	Finance, Department of
Advisory Committee	Advisor Name Title David R. Peterson Committee Chair G. Stacy Sirmans Committee Member Gary A. Benesh Committee Member William A. Christiansen Committee Member
Keywords	REIT Mutual Funds Momentum Acquisition
Date of Defense	2006-08-22
Availability	unrestricted
Abstract My study combines the process of asset composition of REITs with the REITs’ contribution in real estate mutual fund portfolios. I examine the relationship between property acquisition/disposition and equity REIT performance. I find evidence of abnormal returns around 0.09% on the announcement date. The performance of REITs may determine the level of holdings in real estate mutual funds. I also look into the information content of REIT dividend announcements; does this influence the decision of the real estate mutual fund investment manager to alter their holdings of REITs in the fund? I find evidence of abnormal returns around 0.15% on the announcement date when the dividend announcement date occurs before the earnings announcement date. Prior studies document momentum in REIT returns. Given this momentum, I examine whether real estate mutual funds alter their portfolios based on past performance of the REITs held in the fund. Further, I explore whether the changing composition of portfolios causes momentum in REIT returns and leads to momentum in mutual fund returns. I find evidence of prior REIT performance affecting change in percentage holdings of real estate mutual funds, but no evidence of momentum. I will see if there is any relationship between liquidity of REITs and the change of holdings in the respective portfolios. I find evidence of a relationship between liquidity and mutual fund holdings. This will give the investment advisor a look into management of real estate assets in their respective portfolios.
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