Real Estate Risk and Hedge Fund Returns

Research output: Contribution to journalArticle

1 Citation (Scopus)

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 languageEnglish (US)
Pages (from-to)197-225
Number of pages29
JournalJournal of Real Estate Finance and Economics
Volume52
Issue number3
DOIs
StatePublished - Apr 1 2016

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real estate
real estate market
economic impact
performance
market
hedge
exposure
Hedge funds
Real estate

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies

Cite this

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title = "Real Estate Risk and Hedge Fund Returns",
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.",
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Real Estate Risk and Hedge Fund Returns. / Ambrose, Brent William; Cao, Quanwei; D’Lima, Walter.

In: Journal of Real Estate Finance and Economics, Vol. 52, No. 3, 01.04.2016, p. 197-225.

Research output: Contribution to journalArticle

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