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Empirical evidence on the micro and macro forecasting ability of real estate funds

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  • Stephen Lee
  • Simon Stevenson

Abstract

The performance of a sample of real estate funds over the period 1989-2001 is analysed in order to assess the fund manager's selection and timing ability. In addition to conventional performance measures a number of alternative techniques are also used in order to overcome potential biases present in CAPM based models. The results reveal that on average the funds display poor asset selection ability, while the timing results are to some degree dependent on the model used. Specification tests reveal little evidence of misspecification in the models tested.

Suggested Citation

  • Stephen Lee & Simon Stevenson, 2003. "Empirical evidence on the micro and macro forecasting ability of real estate funds," Journal of Property Research, Taylor & Francis Journals, vol. 20(3), pages 207-234, January.
    • Handle: RePEc:taf:jpropr:v:20:y:2003:i:3:p:207-234
    DOI: 10.1080/0959991032000162356
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    References listed on IDEAS

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    1. Lee, Cheng Few & Rahman, Shafiqur, 1990. "Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 63(2), pages 261-278, April.
    2. Carl R. Chen & Steve Stockum, 1986. "Selectivity, Market Timing, And Random Beta Behavior Of Mutual Funds: A Generalized Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(1), pages 87-96, March.
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