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Liquidity Risk of Private Assets : Evidence from Real Estate Markets

Cheng, Ping - 2013

Investment in thinly-traded private assets involves liquidity risk. Existing literature provides limited guidance as it … quantifying liquidity risk of private assets. Using commercial real estate as a model asset and under reasonable assumptions, we … find that the magnitude of liquidity risk is too large to be ignored, especially in down markets when liquidity risk is a …

Persistent link: https://www.econbiz.de/10013087031

Real Estate Illiquidity and Returns : A Time-varying Regional Perspective

Ellington, Michael - 2020

This paper proposes two new measures of illiquidity for real estate markets utilising concepts from asset pricing. Segregating real estate through a regional lens, we provide an in-depth analysis of real estate returns and illiquidity for the US and UK using time-varying parameter VAR models....

Persistent link: https://www.econbiz.de/10012849076

MSA Geographic Allocations, Property Selection, and Performance Attribution in Public and Private Real Estate Markets

Ling, David C. - 2015

This paper examines the effects of geographic portfolio concentration on the return performance of U.S. public REITs versus private commercial real estate over the 1996-2013 time period. We document significant cross-sectional and temporal differences in the geographic concentration of property...

Persistent link: https://www.econbiz.de/10013015492

Tenant industry sector and European listed real estate performance

Muckenhaupt, Jan; Hoesli, Martin; Zhu, Bing - 2022

This paper is the first to examine the relationship between the performance of public real estate companies (PRECs) and the industrial sector of their tenants. By investigating the performance of a large sample of European real estate firms from 2010 to 2019 and information pertaining to the...

Persistent link: https://www.econbiz.de/10012800985

Diversification Potential in Real Estate Portfolios

Candelon, Bertrand; Fuerst, Franz; Hasse, Jean-Baptiste - 2021

In this paper, we study the international and sectoral diversification potential in realestate portfolios. Building on a unique dataset of direct real estate markets covering 16 OECDcountries over the 1999-2018 period, we introduce a statistical test to compare country-leveland sector-level...

Persistent link: https://www.econbiz.de/10013231660

Commercial Real Estate, Distress and Financial Resolution : Portfolio Lending versus Securitization

Downs, David H. - 2015

This paper examines the contrasting influence of portfolio lending and securitization in the resolution of distressed commercial real estate. The empirical analysis utilizes a large and unique data set of distressed commercial mortgages. The data set is constructed based on the recent financial...

Persistent link: https://www.econbiz.de/10013016408

Behavioural real estate

Salzman, Diego; Zwinkels, Remco C. J. - 2013

Persistent link: https://www.econbiz.de/10009784944

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

REITS and Underlying Real Estate Markets : Is There a Link?

Pavlov, Andrey D. - 2012

This paper utilizes the Carlson, Titman, and Tiu (2010) model of REIT returns to estimate the strength of the relationship between REIT and underlying real estate returns. Our work further offers an innovative method for computing the returns of the real estate properties underlying each REIT...

Persistent link: https://www.econbiz.de/10013114486

The valuation of iIlliquid assets : a focus on private equity and real estate

Gibson, Rajna; Hoesli, Martin; Shan, Jiajun - 2022

This paper reviews methods that can be used to value illiquid investments, with a particular focus on private equity and real estate. We discuss the traditional valuation methods, in particular the net present value (NPV) rule, and show in what circumstances these can lead to suboptimal...

Persistent link: https://www.econbiz.de/10013168778

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