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Executive Summary. This study examines the ability of implied property type allocations to aid in the explanation for the performance of real estate investment trust (REIT) funds. Implied allocations are estimated for ten institutional REIT managers and for nine mutual funds specializing in real estate from January, 1994 through September, 1996. The study finds evidence for the ability of the implied allocations to explain performance, but the tests for a statistically significant relationship are mixed.
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Neil et al. (2000) studied this question.
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