IDEAS home Printed from https://ideas.repec.org/p/arz/wpaper/eres2024-022.html
   My bibliography  Save this paper

Real Estate Fund Dispersion and Market Dispersion

Author

Listed:
  • Stephen Lee

Abstract

This paper investigates the relationship between the return dispersion of two types of real estate funds (Balanced and Specialist) and the return dispersion of the UK commercial real estate market. Using quarterly data over the period from 2002:Q1 to 2022:Q4, we draw a number of conclusions. First, we find that market dispersion is time varying and dominated by non-market risk. Second, Specialist funds show greater fund dispersion than Balanced funds. Third, when we regress Balanced fund dispersion against market dispersion and the two types of risk, we find that Balanced fund dispersion is significant related to beta risk. In contrast, Specialist display a significant relationship with non-market risk. In other words, Balanced funds offer “beta” performance while Specialist funds offer “alpha” performance. Lastly, the empirical results show that the relationship between market dispersion and real estate fund dispersion is not straight forward, it depends on the type of fund and type of dispersion.

Suggested Citation

  • Stephen Lee, 2024. "Real Estate Fund Dispersion and Market Dispersion," ERES eres2024-022, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2024-022
    as

    Download full text from publisher

    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2024-022
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Beta risk; Dispersion; Non-market risk; Real Esate Funds;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arz:wpaper:eres2024-022. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/eressea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.