The Relationship between Information Asymmetry and Real Estate Mutual Fund Performance

• Main Authors: Kai-Min Mao, 毛凱民
• Other Authors: Chiuling Lu
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/24633544938270266075

碩士 === 元智大學 === 財務金融研究所 === 90 === This study tests whether the information asymmetry of real estate market, causes the positive abnormal return of real estate mutual funds. Empirical result shows that no matter whatever real estate market index is used to calculate risk-adjusted return, the real estate mutual funds’ performance has positive abnormal return significantly. It means that the real estate mutual funds generally beat the market. We also examine the real estate mutual funds’ performance by using the timing and selectivity model, common factor’s cross-sectional regression, and the performance persistence model. All tests provide evidence that information asymmetric problems in deed exist in the real estate market seriously, resulting in the real estate market inefficiency.