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  • Are Hedge Fund Managers Better Able to Forecast Real Estate Security Returns than Others?

    Author(s)
    Chung, Richard
    Fung, Scott
    Shilling, James D.
    Simmons-Mosley, Tammie X.
    Griffith University Author(s)
    Chung, Richard Yiu-Ming
    Year published
    2007
    Metadata
    Show full item record
    Abstract
    Tests of whether hedge fund managers are better able to forecast real estate securities returns than others are reported in this article. Two main conclusions follow from the estimation results. First, it appears that real estate securities hedge fund managers may have some superior forecasting skills. Second, there is evidence that hedge fund managers prefer real estate securities that are larger, have a higher beta, and a higher residual standard deviation. The results reported are consistent with the hypothesized effects.Tests of whether hedge fund managers are better able to forecast real estate securities returns than others are reported in this article. Two main conclusions follow from the estimation results. First, it appears that real estate securities hedge fund managers may have some superior forecasting skills. Second, there is evidence that hedge fund managers prefer real estate securities that are larger, have a higher beta, and a higher residual standard deviation. The results reported are consistent with the hypothesized effects.
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    Journal Title
    Journal of Portfolio Management
    Volume
    33
    Issue
    5
    DOI
    https://doi.org/10.3905/jpm.2007.699612
    Subject
    Banking, Finance and Investment not elsewhere classified
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/58836
    Collection
    • Journal articles

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