A Critical Look at the Forecasting Ability of Real Estate Mutual Fund Managers

Javier Rodriguez

Journal of Real Estate Portfolio Management, 2007, vol. 13, issue 2, 99-106

Abstract: Executive Summary. The forecasting ability and value provided by real estate mutual fund managers is empirically examined during the 1999-2004 time period. Attribution returns are used to test for forecasting skill. An attribution return is defined as the difference between a fund's actual month t return and the return that would have been generated by the index strategy that best explains the fund return during the previous two-year period. In the aggregate, fund managers do not show abnormal forecasting skill. However, real estate mutual fund managers show more forecasting skill during periods when the stock market does better than the bond market. Finally, when the fund sample is partitioned between surviving and non-surviving funds, only the subgroup of non-surviving funds shows poor forecasting skill as evidenced by a negative and significant mean attribution return.

Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.2007.12089767 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:repmxx:v:13:y:2007:i:2:p:99-106

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/repm20

DOI: 10.1080/10835547.2007.12089767

Access Statistics for this article

Journal of Real Estate Portfolio Management is currently edited by Peng Liu and Vivek Sah

More articles in Journal of Real Estate Portfolio Management from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().