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
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