Real Estate Risk and Hedge Fund Returns

被引：0
|
作者：
Brent W. Ambrose
Charles Cao
Walter D’Lima
机构：
[1] Penn State University,Institute for Real Estate Studies
[2] Penn State University,Department of Finance
[3] Penn State University,Department of Risk Management
来源：
The Journal of Real Estate Finance and Economics | 2016年 / 52卷
关键词：
Hedge funds; Real estate; Performance analysis; Portfolio theory; G11; G12; R30;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We explore a new investment dimension relating hedge fund exposure to the real estate market. Using fund level data from 1994 to 2012 from a major hedge fund data vendor, we identify 1,321 hedge funds as having significant exposure to direct or securitized real estate. We test for the economic impact of real estate exposure. Our analysis shows that real estate exposure does not increase fund performance.
引用
收藏
页码：197 / 225
页数：28
相关论文
共 50 条
  • [1] Real Estate Risk and Hedge Fund Returns
    Ambrose, Brent W.
    Cao, Charles
    D'Lima, Walter
    JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2016, 52 (03): : 197 - 225
  • [2] Macroeconomic risk and hedge fund returns
    Bali, Turan G.
    Brown, Stephen J.
    Caglayan, Mustafa O.
    JOURNAL OF FINANCIAL ECONOMICS, 2014, 114 (01) : 1 - 19
  • [3] Downside risk and hedge fund returns
    Argyropoulos, Christos
    Panopoulou, Ekaterini
    Vrontos, Spyridon
    JOURNAL OF BANKING & FINANCE, 2025, 171
  • [4] Risk Measures for Autocorrelated Hedge Fund Returns
    Di Cesare, Antonio
    Stork, Philip A.
    De Vries, Casper G.
    JOURNAL OF FINANCIAL ECONOMETRICS, 2015, 13 (04) : 868 - 895
  • [5] Manager characteristics and real estate mutual fund returns, risk and fees
    Philpot, James
    Peterson, Craig
    MANAGERIAL FINANCE, 2006, 32 (12) : 988 - +
  • [6] Are hedge fund managers better able to forecast real estate security returns than others? A cause may be the incentive fees paid to hedge fund managers
    Chung, Richard
    Fung, Scott
    Shilling, James D.
    Simmons-Mosley, Tammie X.
    JOURNAL OF PORTFOLIO MANAGEMENT, 2007, : 165 - +
  • [7] Hedge funds, fund attributes and risk adjusted returns
    Soydemir G.
    Smolarski J.
    Shin S.
    Journal of Economics and Finance, 2014, 38 (1) : 133 - 149
  • [8] Systematic risk and the cross section of hedge fund returns
    Bali, Turan G.
    Brown, Stephen J.
    Caglayan, Mustafa Onur
    JOURNAL OF FINANCIAL ECONOMICS, 2012, 106 (01) : 114 - 131
  • [9] High Funding Risk and Low Hedge Fund Returns
    Klingler, Sven
    CRITICAL FINANCE REVIEW, 2022, 11 (3-4): : 505 - 539
  • [10] Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud
    Bollen, Nicolas P. B.
    Pool, Veronika K.
    REVIEW OF FINANCIAL STUDIES, 2012, 25 (09): : 2673 - 2702
12345