Revisiting performance persistence in real estate funds

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.

Department dc:contributor.department

Massachusetts Institute of Technology. Dept. of Urban Studies and Planning.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2005

Authors dc:creator

• LaFever, Robert A. (Robert Anthony)
• Canizo, Luis

Advisor dc:contributor.advisor

• David Geltner.

• Urban Studies and Planning.

Statement dc:rights

• M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/33183

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/33183