Kallberg, Jarl G.; Liu, Crocker L.; Trzcinka, Charles - In: Journal of Financial and Quantitative Analysis 35 (2000) 03, pp. 387-408
This paper empirically analyzes REIT mutual funds. We show that, contrary to mostmutual fund studies, the average and median alphas (net of expenses) are positive. We also findthat time-varying positive alphas are much more likely to occur when the real asset market is performing poorly,...