Trading Intensity and Real Estate Performance

Published in Journal of Real Estate Finance and Economics

This paper investigates whether it is possible to create value through the active management of direct property portfolios. Using data from the United States, the United Kingdom and Australia, we examine whether trading intensity and portfolio growth explain the risk and return characteristics of listed property companies. The results suggest that heating the market by pursuing tactical asset selection and investment timing strategies is difficult even when acquiring and disposing of properties in illiqid 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 of systematic risk.

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