REIT Unit Investment Trusts and Fund Manager Skill
Journal of Alternative Investments Copyright 2022 PMR. All rights reserved.
Posted: 16 Jan 2017 Last revised: 19 Apr 2022
Date Written: November 13, 2021
Abstract
This study examines fund manager skill using a sample of real estate investment trust unit investment trusts (REIT UITs). Since REIT UITs are limited to a single industry and since the fund managers do not trade, REIT UITs present an ideal sample to study fund manager stock-selection skill. Using a hand-collected sample of REIT UITs from May 2009 to July 2015, this study finds that REIT UITs do not deliver a statistically significant positive alpha. This is the first paper to investigate fund manager stock-selection skill in REIT UITs and contributes to the literature evaluating the effectiveness of fund active management.
Keywords: REIT, unit investment trust, fund manager skill
JEL Classification: G10, G11, R30
Suggested Citation: Suggested Citation