Price predictability in liquid funds with illiquid underlying assets-Reference-Cited by-同舟云学术

Price predictability in liquid funds with illiquid underlying assets

Published:2023-10-03 Issue: Volume: Page:
ISSN:1080-8620
Container-title:Real Estate Economics
language:en
Short-container-title:Real Estate Economics

Author:

Hughes William T.¹,Ling David C.¹^ORCID,Ray Sugata²^ORCID,Xu Luqi³

Affiliation:

1. Warrington College of Business University of Florida Gainesville Florida USA

2. Culverhouse College of Business University of Alabama Tuscaloosa Alabama USA

3. School of Business College of Charleston Charleston South Carolina USA

Abstract

AbstractDaily‐priced real estate (DPRE) funds are designed to provide investors with daily liquidity while investing in illiquid private assets. DPRE fund returns are predictable, allowing for a trading strategy based on predicted returns to generate trading profits of 60–132 bps a year. Funds with higher predicted returns have higher investor flows, but the flow‐to‐future predicted performance relationship is no stronger for DPRE funds with higher return predictability than those with lower return predictability. This appears to be the result of trading constraints on highly predictable institutional DPRE funds. Even modest trading restrictions on monthly redemptions render profits from trading strategies based on return predictability economically insignificant.

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/1540-6229.12460

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