Revisiting performance persistence in real estate funds
Author(s)LaFever, Robert A. (Robert Anthony); Canizo, Luis
Massachusetts Institute of Technology. Dept. of Urban Studies and Planning.
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In this thesis, real estate opportunity fund returns were analyzed for evidence of persistence in subsequent funds from the same manager; it is designed to update and enhance a prior thesis performed by Cathy C. Hahn (2003), using both parametric and non-parametric tests. Tests were performed on gross and net returns covering the period from 1991-2004. These tests confirm the prior finding that past fund performance is a significant indicator of future fund performance within the same firm. Our study also found the strongest evidence of persistence to exist in the extreme performers ranking in the top and bottom quartile amongst their vintage year peers. Additional tests for persistence, as well as effects of fund characteristics on performance, were employed using a methodology similar to that performed on private equity funds by Kaplan and Schoar (2003). Our tests yielded similar results to those found by Kaplan and Schoar(2003), but were not substantiated with statistical significance.
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 2005.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.Includes bibliographical references (leaves 46-47).
DepartmentMassachusetts Institute of Technology. Dept. of Urban Studies and Planning.; Massachusetts Institute of Technology. Department of Urban Studies and Planning
Massachusetts Institute of Technology
Urban Studies and Planning.