TAILIEUCHUNG - Market Timing and Investment Selection: Evidence from Real Estate Investors

Tham khảo sách 'market timing and investment selection: evidence from real estate investors', tài chính - ngân hàng, đầu tư bất động sản phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | Market Timing and Investment Selection Evidence from Real Estate Investors Yael V. Hochberg Kellogg School of Management Northwestern University NBER Tobias Miihlhofer Kelley School of Business Indiana University January 2011 Abstract In this paper we explore fund managers abilities to generate abnormal profits in the real estate market a market characterized by relative inefficiency compared to the publicly-traded equities market. We adapt the Daniel Grinblatt Titman and Wermers 1997 measures of Characteristic Timing and Characteristic Selectivity to measure public and private real estate investors ability to successfully time their portfolio weightings and select properties that outperform average properties of similar type. Using data on publicly traded REITS as well as property transactions data for private entities we find that the vast majority of both public and private portfolio managers exhibit little market timing ability. Public portfolio managers exhibit substantial variation in their ability to successfully select investments while private portfolio managers have near zero selection ability across the board. Variation in managerial ability to time markets or select investment classes does not appear to be related to observable portfolio characteristics suggesting possible heterogeneity in managerial skill. We thank Jim Clayton and Jeff Fisher for helpful discussions and suggestions. We thank NCREIF for provision of data on private property holdings. Both authors gratefully acknowledge funding from the Real Estate Research Institute. Hochberg additionally acknowledges funding from the Zell Center for Risk Research at the Kellogg School of Management. Address correspondence to y-hochberg@ Hochberg tmuhlhof@ Muhlhofer . 1 Introduction Discussions regarding the generation of abnormal profits through active trading have long held a prominent position in the finance literature. Beginning with Jensen 1968 a large literature has .

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