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Linkages between direct and securitized real estate

Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2009

Using data for the 1978-2008 period, this study presents evidence for cointegration between securitized (NAREIT) and direct (NCREIF) total return indices. Cointegration between the indices indicates that REITs and direct real estate are substitutable in the portfolio of a long-horizon...

Persistent link: https://www.econbiz.de/10003970466

Response speeds of direct and securitized real estate to shocks in the fundamentals

Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2010

account of the influence of fundamentals on real estate market dynamics. Moreover, we consider the influence of the ‘escrow …

Persistent link: https://www.econbiz.de/10008797757

U.S. metropolitan house price dynamics

Oikarinen, Elias; Bourassa, Steven C.; Hoesli, Martin; … - 2017

Using data for 70 U.S. metropolitan areas, this study explores spatial heterogeneity in house price dynamics. We use … duration are inversely related to supply elasticity. Also short-term momentum and reversion dynamics show substantial spatial …

Persistent link: https://www.econbiz.de/10011875693

House prices, disposable income, and permanent and temporary shocks

Fraser, Patricia; Hoesli, Martin; McAlevey, Lynn George - 2009

Using quarterly data over 1973:4-2008:2, two-variable systems of house prices and income are specified for three major house-owning economies: New Zealand (N.Z.), the U.K. and the U.S. After considering differences in price−income relationships over sub-periods, the analysis compares responses...

Persistent link: https://www.econbiz.de/10003971258

The interest rate sensitivity of real estate

Chaney, Alain; Hoesli, Martin - 2010

This study yields a contribution to a better understanding of the interest rate sensitivity of real estate and should enable a more sophisticated interest rate risk management, especially for insurance companies and pension funds. This is achieved by modelling the whole life of a typical but...

Persistent link: https://www.econbiz.de/10003979505

House prices and bubbles in New Zealand

Fraser, Patricia (contributor); Hoesli, Martin (contributor) - 2006

1980s. Finally, we find that the current deviation of house prices from fundamentals is due to price dynamics rather than …

Persistent link: https://www.econbiz.de/10003394266

Forecasting EREIT returns

Serrano, Camilo; Hoesli, Martin - 2007

This paper analyzes the role played by financial assets, direct real estate, and the Fama and French factors in explaining EREIT returns and examines the usefulness of these variables in forecasting returns. Four models are analyzed and their predictive potential is assessed by comparing three...

Persistent link: https://www.econbiz.de/10003961071

Are REITs real estate? : evidence from international sector level data

Hoesli, Martin; Oikarinen, Elias - 2012

, which has generally relied on overall real estate market indices and neglected the potential long-term dynamics, our … econometric evaluation is based on sector level data and caters for both the short-term and long-term dynamics of the assets as …, Property Type, Dynamics, Leverage, Fundamentals, VECM …

Persistent link: https://www.econbiz.de/10009558452

Transaction-based and appraisal-based capitalization rate determinants

Chaney, Alain; Hoesli, Martin - 2012

This paper provides a contribution to the discussion on appraised values vs. transaction prices by comparing the driving factors of appraisal-based capitalization rates with those of transaction-based capitalization rates. Using a rich database of real estate transactions in Switzerland for the...

Persistent link: https://www.econbiz.de/10009624617

Risk factors of European non-listed real estate fund returns

Delfim, Jean-Christophe; Hoesli, Martin - 2016

This research contributes to a better assessment of risk factors impacting non-listed real estate fund returns. Both macroeconomic and fund-specific factors are considered, additionally taking into account the phase of the real estate cycle. Using a rich database of fund-level data for Europe,...

Persistent link: https://www.econbiz.de/10011514250