Real Estate Risk and Hedge Fund Returns

Brent Ambrose, Charles Cao () and Walter D’Lima ()

The Journal of Real Estate Finance and Economics, 2016, vol. 52, issue 3, 197-225

Abstract: We explore a new investment dimension relating hedge fund exposure to the real estate market. Using fund level data from 1994 to 2012 from a major hedge fund data vendor, we identify 1,321 hedge funds as having significant exposure to direct or securitized real estate. We test for the economic impact of real estate exposure. Our analysis shows that real estate exposure does not increase fund performance. Copyright Springer Science+Business Media New York 2016

Keywords: Hedge funds; Real estate; Performance analysis; Portfolio theory; G11; G12; R30 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:kap:jrefec:v:52:y:2016:i:3:p:197-225

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DOI: 10.1007/s11146-015-9516-1

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