Trading Intensity and Real Estate Performance |
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| Authors: | Dirk Brounen Piet Eichholtz David C Ling |
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| Institution: | (1) Department of Financial Management RSM, Erasmus University Rotterdam, T9.43, P.O. Box 1738, 3000 Rotterdam, The Netherlands;(2) Maastricht University, Maastricht, The Netherlands;(3) Warrington College of Business, University of Florida, Gainesville, FL, USA |
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| Abstract: | This paper investigates whether it is possible to create value through the active management of direct property portfolios.
Using data from the USA, the UK and Australia, we examine whether trading intensity and portfolio growth explain the risk
and return characteristics of listed property companies. The results suggest that beating the market by pursuing tactical
asset selection and investment timing strategies is difficult even when acquiring and disposing of properties in illiquid
private property markets. When the property type in which the firm specializes is included as a control variable in the regressions,
none of the portfolio management intensity indicators developed in this paper is significantly associated with abnormal performance
or systematic risk.
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| Keywords: | Trading intensity Turnover Expansion |
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