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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

Robust desmoothed real estate returns

Delfim, Jean-Christophe; Hoesli, Martin - 2019

This research starts from the observation that common desmoothing models are likely to generate some extreme returns. Such returns will distort risk measurement and hence can lead to investment decisions that are suboptimal relative to those that would be made if a transaction based index were...

Persistent link: https://www.econbiz.de/10012052120

Real estate performance, the macroeconomy and leverage

Delfim, Jean-Christophe; Hoesli, Martin - 2019

Using U.S. data for 1986-2017, the paper focuses on the impacts of macroeconomic risk factors and leverage on the performance of the various types of real estate exposure (direct, non-listed, and listed). The response of core funds to economic risk factors is akin to that of direct investments;...

Persistent link: https://www.econbiz.de/10012052154

Are public and private asset returns and risks the same? : evidence from real estate data

Hoesli, Martin; Oikarinen, Elias - 2013

This article aims to investigate the similarity of public and private real estate returns and risks over the relatively long horizon using data for the U.S and the U.K. The results show evidence of a one-to-one relationship between publicly traded REIT performance and privately traded direct...

Persistent link: https://www.econbiz.de/10010256953

Commonality in liquidity and real estate securities

Hoesli, Martin; Kadilli, Anjeza; Reka, Kustrim - 2014

We conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT … market. Taking advantage of the specific characteristics of REITs, we analyze three types of commonality in liquidity: within … evidence that the three types of commonality in liquidity are priced in REIT returns but only during bad market conditions. We …

Persistent link: https://www.econbiz.de/10010412872

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

Hoesli, Martin; Oikarinen, Elias - 2012

The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...

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

The effect of lock-ups on the suggested real estate portfolio weight

Hoesli, Martin; Liljeblom, Eva; Löflund, Anders - 2012

We test relative illiquidity, exemplified through a temporary lock-up, as a partial explanation for the gap between theoretical and empirical weights for real estate in a multi-asset portfolio. Since asset correlations are known to increase in bear markets, reducing their diversification...

Persistent link: https://www.econbiz.de/10009558460

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

Listed Real Estate as an Inflation Hedge across Regimes

Muckenhaupt, Jan; Hoesli, Martin; Zhu, Bing - 2023

This paper investigates the inflation hedging capability of listed real estate (LRE) companies from 1990 to 2021 in four economies: the US, the UK, Australia, and Japan. By using a Markov switching vector error correction model (MS-VECM), we identify that the short-term hedging ability moves...

Persistent link: https://www.econbiz.de/10014254496

Liquidity and investment horizon

Vovchak, Volodymyr - 2014

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …

Persistent link: https://www.econbiz.de/10010258742

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