Trading Intensity and Real Estate Performance

Posted: 11 Sep 2007

See all articles by Dirk Brounen

Dirk Brounen

Erasmus University Rotterdam (EUR) - Department of Financial Management; Erasmus Research Institute of Management (ERIM); Tinbergen Institute

Piet M. A. Eichholtz

University of Maastricht - Limburg Institute of Financial Economics (LIFE)

David C. Ling

University of Florida - Warrington College of Business Administration

Abstract

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.

Keywords: real estate stocks, turnover, performance

Suggested Citation

Brounen, Dirk and Eichholtz, Piet M. A. and Ling, David Curtis, Trading Intensity and Real Estate Performance. Journal of Real Estate Finance and Economics, Vol. 35, No. 4, 2007, Available at SSRN: https://ssrn.com/abstract=1010388

Dirk Brounen (Contact Author)

Erasmus University Rotterdam (EUR) - Department of Financial Management ( email )

P.O. Box 1738
Room T09-53
3000 DR Rotterdam
Netherlands

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 1 0408 2371 (Phone)
+31 1 0408 9017 (Fax)

HOME PAGE: http://web.eur.nl/fbk/dep/dep5/faculty/dbrounen

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands
120-551-3535 (Phone)

Piet M. A. Eichholtz

University of Maastricht - Limburg Institute of Financial Economics (LIFE) ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31 43 3883648 (Phone)
+31 43 3258530 (Fax)

David Curtis Ling

University of Florida - Warrington College of Business Administration ( email )

P.O. Box 117168
Gainesville, FL 32611
United States
352-392-9307 (Phone)
352-392-0301 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
535
PlumX Metrics