This study examines the effects of weekly and monthly capital flows into the dedicated REIT mutual fund sector on aggregate REIT returns and, simultaneously, the effects of industry-level REIT returns on subsequent REIT mutual fund flows. The dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) techniques. Unlike static regression techniques, our dynamic model produces estimates of the short-run relationships, long-run relationships, impulse response functions, and forecast variance decompositions. We find evidence that REIT mutual fund flows are positively and significantly related to prior returns, while prior REIT mutual fund flows do not significantly influence REIT returns. However, contemporaneous flows do appear to have an initial positive effect, which is partially reversed one period later. The positive contemporaneous effect, however, is the result of unexpected REIT mutual fund flows, while the expected portion is insignificant. Copyright Springer Science + Business Media, LLC 2006
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机译：这项研究考察了每周和每月流入专用房地产投资信托基金共同基金部门的资金对房地产投资信托基金总回报的影响，以及行业水平房地产投资信托基金回报对随后的房地产投资信托基金共同基金的影响。 REIT资金流量与收益之间的动态关系是使用向量自回归（VAR）技术估算的。与静态回归技术不同，我们的动态模型会生成短期关系，长期关系，冲激响应函数和预测方差分解的估计。我们发现有证据表明，房地产投资信托基金共同基金流量与先前的收益正相关且显着相关，而先前的房地产投资信托基金共同基金流量并没有显着影响房地产投资信托的收益。但是，同时期的流量确实确实具有初期的积极作用，但在一个时期后部分被逆转。然而，积极的同期效应是房地产投资信托基金共同基金意外流动的结果，而预期部分却微不足道。版权所有Springer Science + Business Media，LLC 2006
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