The Value Added from Investment Managers: An Examination of Funds of REITs
实证分析REIT共同基金，发现平均和中性alpha（扣除费用后）为正，且在房地产市场表现不佳时alpha更可能为正，表明经理在下跌市场中创造更多价值。
This paper empirically analyzes REIT mutual funds.We show that, contrary to most mutual fund studies, the average and median alphas (net of expenses) are positive.We also find that time-varying positive alphas are much more likely to occur when the real asset market is performing poorly, suggesting that managers add more value in down markets than in up markets.We examine the cross-sectional determinants of both standard alphas and the average of time-varying alphas and find that both increase with assets and tumover.Cross-sectionally, we find that actively managed funds have higher alphas than passively managed funds.