Empirical evidence on the micro and macro forecasting ability of real estate funds

Stephen Lee and Simon Stevenson

Journal of Property Research, 2003, vol. 20, issue 3, 207-234

Abstract: The performance of a sample of real estate funds over the period 1989-2001 is analysed in order to assess the fund manager's selection and timing ability. In addition to conventional performance measures a number of alternative techniques are also used in order to overcome potential biases present in CAPM based models. The results reveal that on average the funds display poor asset selection ability, while the timing results are to some degree dependent on the model used. Specification tests reveal little evidence of misspecification in the models tested.

Date: 2003
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DOI: 10.1080/0959991032000162356

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