Market Timing and Investment Selection: Evidence from Real Estate Investors
研究了商业地产基金经理通过选择表现优异的子市场或把握进出时机来获取超额收益的能力，发现多数经理缺乏时机选择能力，但部分经理在子市场选择上表现突出且具有持续性。
We examine commercial real estate fund managers’ abilities to generate abnormal profits through selection of outperforming property submarket segments or through the timing of entry into and exit from submarkets. The vast majority of portfolio managers exhibit little market timing ability, with the exception of non-NYSE real estate investment trusts after the financial crisis. A substantial fraction of managers seems able to successfully select property submarkets. Selection performance exhibits significant persistence. Managers that are active in more liquid markets tend to exhibit better timing performance, while managers exhibiting better selection ability appear to be active in less liquid markets.