 Risk classification of Asian real estate funds and their performanceNick Mansley, Tiffany Ching Man Tse and Zilong Wang Pacific-Basin Finance Journal, 2020, vol. 63, issue C Abstract: Real estate funds are usually classified into three investment types reflecting different target returns and investment strategies, capital structures and consequently different levels of risk: Core, Value-added, and Opportunistic. This paper investigates the relationship between risk classification and the realized return of private Asian real estate funds. Our results show that different risk classes have not performed differently on average and there is no evidence of significant differences in systematic risk across these three types of funds. Riskier class funds hold more idiosyncratic risk and the returns are more volatile. The results are consistent with conventional finance theory, in that idiosyncratic risk is not rewarded with a premium. This paper introduces the concept of expected fund return reflecting capital structure and market exposure but this fails to reliably predict the realized fund return. Keywords: Non-listed real estate funds; Fund performance; Real estate investment; Private equity; Asia (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20301190 DOI: 10.1016/j.pacfin.2020.101400 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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