AbstractThis
paper provides evidence regarding the risk-adjusted performance of 19 UK
real estate funds in the UK, over the period 1991-2001. Using Jensen’s
alpha the results are generally favourable towards the hypothesis that
real estate fund managers showed superior risk-adjusted performance over
this period. However, using three widely known parametric statistical
procedures to jointly test for timing and selection ability the results
are less conclusive. The paper then utilises the meta-analysis technique
to further examine the regression results in an attempt to estimate the
proportion of variation in results attributable to sampling error.
The meta-analysis results reveal strong evidence, across all models, that
the variation in findings is real and may not be attributed to sampling
error. Thus, the meta-analysis results provide strong evidence that
on average the sample of real estate funds analysed in this study delivered
significant risk-adjusted performance over this period. The meta-analysis
for the three timing and selection models strongly indicating that this
out performance of the benchmark resulted from superior selection ability,
while the evidence for the ability of real estate fund managers to time
the market is at best weak. Thus, we can say that although real estate
fund managers are unable to outperform a passive buy and hold strategy
through timing, they are able to improve their risk-adjusted performance
through selection ability.
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