Ling, David; Naranjo, Andy - In: The Journal of Real Estate Finance and Economics 32 (2006) 4, pp. 409-433
aggregate REIT returns and, simultaneously, the effects of industry-level REIT returns on subsequent REIT mutual fund flows. The … dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) techniques. Unlike … and significantly related to prior returns, while prior REIT mutual fund flows do not significantly influence REIT returns …