REITs exhibit a strong and prevalent momentum effect that is not captured by conventional factor models. This REIT momentum anomaly hampers proper judgments about the performance of actively managed REIT portfolios. In contrast, a REIT momentum factor adds incremental explanatory power to performanc
Revised version
Jeroen Derwall (1978) is an Assistant Professor of Financial Management at RSM Erasmus University, and Assistant Professor of Finance at Maastricht University, The Netherlands. He is also co-initiator of the European Centre for Corporate Engagement (ECCE). Before starting his doctoral research at ER
Although the academic interest in ethical mutual fund performance has developed steadily, the evidence to date is mainly sample-specific. To tackle this critique, new research should extend to unexplored countries. Using this as a motivation, we examine the performance and risk sensitivities of Cana
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