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Performance persistence in real estate private equity

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  • Siem Aarts
  • Andrew Baum

Abstract

This study investigates performance persistence across real estate private equity funds. We apply a combination of non-parametric and parametric tests to assess the relationship between past fund performance and subsequent fund performance of non-listed real estate funds. Based on a large global sample of value-added and opportunistic real estate private equity funds raised between 1990 and 2009, we use contingency tables, cross-product ratios, rank correlation statistics and regression analyses to investigate whether there is persistence in the performance across consecutive funds. We find strong evidence for performance persistence across directly consecutive funds. However, we find little support for a relationship between the performance of other prior funds and the focal fund, suggesting that performance persistence is a short-term phenomenon.

Suggested Citation

  • Siem Aarts & Andrew Baum, 2016. "Performance persistence in real estate private equity," Journal of Property Research, Taylor & Francis Journals, vol. 33(3), pages 236-251, July.
    • Handle: RePEc:taf:jpropr:v:33:y:2016:i:3:p:236-251
    DOI: 10.1080/09599916.2016.1203349
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    References listed on IDEAS

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    1. Brown, Stephen J & Goetzmann, William N, 1995. "Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-698, June.
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    Cited by:

    1. Maiia Sleptcova & Heidi Falkenbach, 2021. "Managerial Skill and European PERE Fund Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 62(4), pages 665-690, May.
    2. Fuerst, Franz & Mansley, Nick & Wang, Zilong, 2021. "Do specialist funds outperform? Evidence from European non-listed real estate funds," Research in International Business and Finance, Elsevier, vol. 58(C).
    3. Graeme Newell, 2021. "Future research opportunities for Asian real estate," International Journal of Urban Sciences, Taylor & Francis Journals, vol. 25(2), pages 272-290, April.
    4. Mansley, Nick & Tse, Tiffany Ching Man & Wang, Zilong, 2020. "Risk classification of Asian real estate funds and their performance," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).

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