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Real Estate Risk and Hedge Fund Returns

Author

Listed:
  • Brent Ambrose
  • Charles Cao
  • Walter D’Lima

Abstract

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. Copyright Springer Science+Business Media New York 2016

Suggested Citation

  • Brent Ambrose & Charles Cao & Walter D’Lima, 2016. "Real Estate Risk and Hedge Fund Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 52(3), pages 197-225, April.
    • Handle: RePEc:kap:jrefec:v:52:y:2016:i:3:p:197-225
    DOI: 10.1007/s11146-015-9516-1
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    Cited by:

    1. Eli Beracha & George D. Cashman & Hilla Skiba, 2021. "Specialization and Institutional Investors’ Performance – Evidence from Publicly Traded Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 62(1), pages 48-80, January.

    More about this item

    Keywords

    Hedge funds; Real estate; Performance analysis; Portfolio theory; G11; G12; R30;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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