Real Estate Risk and Hedge Fund Returns

Brent W. Ambrose; Charles Cao; Walter D’Lima

doi:10.1007/s11146-015-9516-1

Real Estate Risk and Hedge Fund Returns

Brent W. Ambrose, Charles Cao, Walter D’Lima

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

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.

Original language	English (US)
Pages (from-to)	197-225
Number of pages	29
Journal	Journal of Real Estate Finance and Economics
Volume	52
Issue number	3
DOIs	https://doi.org/10.1007/s11146-015-9516-1
State	Published - Apr 1 2016

All Science Journal Classification (ASJC) codes

Accounting
Finance
Economics and Econometrics
Urban Studies

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10.1007/s11146-015-9516-1

Cite this

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AB - 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.

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Real Estate Risk and Hedge Fund Returns

Abstract

All Science Journal Classification (ASJC) codes

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