Market timing and investment selection

Evidence from real estate investors

Yael V. Hochberg, Tobias Muhlhofer

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

We examine commercial real estate fund managers' abilities to generate abnormal profits through selection of outperforming property submarket segments or through the timing of entry into and exit from submarkets. The vast majority of portfolio managers exhibit little market timing ability, with the exception of non-NYSE real estate investment trusts after the financial crisis. A substantial fraction of managers seems able to successfully select property submarkets. Selection performance exhibits significant persistence. Managers that are active in more liquid markets tend to exhibit better timing performance, while managers exhibiting better selection ability appear to be active in less liquid markets.

Original languageEnglish (US)
Pages (from-to)2643-2675
Number of pages33
JournalJournal of Financial and Quantitative Analysis
Volume52
Issue number6
DOIs
StatePublished - Dec 1 2017

Fingerprint

Managers
Market timing
Investors
Real estate
Real estate investment trusts
Fund managers
Entry and exit
Commercial real estate
Persistence
Profit
Financial crisis

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this

Market timing and investment selection : Evidence from real estate investors. / Hochberg, Yael V.; Muhlhofer, Tobias.

In: Journal of Financial and Quantitative Analysis, Vol. 52, No. 6, 01.12.2017, p. 2643-2675.

Research output: Contribution to journalArticle

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