Why do investors keep buying underperforming mutual funds? To address this issue, we develop a one-period principal-agent model with a representative investor and a fund manager in an asymmetric information framework. This model shows that the investors perception of the fund plays the key role...

Is the formation of investor cliques associated with superior fund performance? Our analysis of more than 2,000 private equity real estate (PERE) funds over three decades reveals outstanding performance among PERE funds dominated by investor cliques. Specifically, cliques with a more extensive...

This paper examines the appropriate measure of performance for real estate mutual funds. Several popular performance measures including Sharpe, Treynor and Sortino measures are evaluated. The results demonstrate that the Sharpe index outperforms the other two alternatives. In order to consider...

This study examines fund manager skill using a sample of Real Estate Investment Trust Unit Investment Trusts (REIT UITs). It also investigates how REIT UIT performance compares to investing in REIT mutual funds. Are REIT UIT fund managers able to select REITs that deliver superior performance?...

The purpose of this research is to explore the viability of utilizing the Morningstar upside/downside capture ratio (UDCR) as viable measure of mutual fund risk and its relation to return. This research examines and compares result of the Sharpe ratio to the Morningstar upside/downside capture...

Managerial incentives are skewed in non-listed funds under finite horizons. Compensation structures are only indirectly related to shareholder wealth maximization when share prices are unobservable. Liquidity options for investors are limited in the absence of an exchange listing. Using a...

Managerial incentives are skewed in non-listed funds under finite horizons. Compensation structures are only indirectly related to shareholder wealth maximization when share prices are unobservable. Liquidity options for investors are limited in the absence of an exchange listing. Using a...

We investigate the net effect between diversification benefit and information cost of international real estate mutual funds from three dimensions: whether investors can benefit from investing in international real estate mutual funds, whether managers of international real estate mutual funds...

Half of the jobs in the U.S. feature pay-for-performance. We study nonlinear income taxation in a model where such contracts arise in private labor markets that are constrained by moral hazard frictions. We derive novel formulas for the incidence of arbitrarily nonlinear reforms of a given tax...