REITs exhibit a large and prevalent momentum effect that is not captured by conventional factor models. We show that this REIT momentum anomaly hampers proper judgments about the active management of REIT portfolios. By contrast, a REIT momentum factor provides incremental explanatory power to...

In this paper we analyze the persistence in the performance of hedge funds taking into account look-ahead bias (multi-period sampling bias). To do so, we model liquidation of hedge funds and analyze how it depends upon historical performance. Next, we use a weighting procedure that eliminates...