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

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.

TOPICS: Real estate, risk management