PT  - JOURNAL ARTICLE
AU  - Richard Chung
AU  - Scott Fung
AU  - James D. Shilling
AU  - Tammie X. Simmons-Mosley
TI  - Are Hedge Fund Managers Better Able to Forecast Real Estate Security Returns than Others?
AID  - 10.3905/jpm.2007.699612
DP  - 2007 Sep 30
TA  - The Journal of Portfolio Management
PG  - 165--174
VI  - 33
IP  - 5
4099  - https://pm-research.com/content/33/5/165.short
4100  - https://pm-research.com/content/33/5/165.full
AB  - 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