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Market Timing and Investment Selection: Evidence from Real Estate Investors

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  • Hochberg, Yael V.
  • Mühlhofer, Tobias

Abstract

We examine commercial real estate fund managers’ abilities to generate abnormal profits through selection of outperforming property submarket segments or through the timing of entry into and exit from submarkets. The vast majority of portfolio managers exhibit little market timing ability, with the exception of non-NYSE real estate investment trusts after the financial crisis. A substantial fraction of managers seems able to successfully select property submarkets. Selection performance exhibits significant persistence. Managers that are active in more liquid markets tend to exhibit better timing performance, while managers exhibiting better selection ability appear to be active in less liquid markets.

Suggested Citation

  • Hochberg, Yael V. & Mühlhofer, Tobias, 2017. "Market Timing and Investment Selection: Evidence from Real Estate Investors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(6), pages 2643-2675, December.
    • Handle: RePEc:cup:jfinqa:v:52:y:2017:i:06:p:2643-2675_00
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    Cited by:

    1. David C. Ling & Andy Naranjo & Benjamin Scheick, 2021. "There is no place like home: Information asymmetries, local asset concentration, and portfolio returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 36-74, March.
    2. Zhilan Feng & Maneechit Pattanapanchai & S. McKay Price & C. F. Sirmans, 2021. "Geographic diversification in real estate investment trusts," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 267-286, March.
    3. Elyasiani, Elyas & Rytchkov, Oleg & Stetsyuk, Ivan, 2022. "Do real estate mutual fund managers create value?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 396-406.

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