RT Journal Article
SR Electronic
T1 Are Hedge Fund Managers Better Able to Forecast Real Estate Security Returns than Others?
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 165
OP 174
DO 10.3905/jpm.2007.699612
VO 33
IS 5
A1 Richard Chung
A1 Scott Fung
A1 James D. Shilling
A1 Tammie X. Simmons-Mosley
YR 2007
UL https://pm-research.com/content/33/5/165.abstract
AB Tests of whether hedge fund managers are better able to forecast real estate securities returns than others are reported in this article. Two main conclusions follow from the estimation results. First, it appears that real estate securities hedge fund managers may have some superior forecasting skills. Second, there is evidence that hedge fund managers prefer real estate securities that are larger, have a higher beta, and a higher residual standard deviation. The results reported are consistent with the hypothesized effects.TOPICS: Real estate, risk management