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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
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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
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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
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Ongoing Catch-Up Potential for German Real Estate Returns
Piazolo, Daniel - 2017
Germany has attracted substantial real estate investments from abroad within the last years. Furthermore, German investors have also invested again a higher percentage of their capital earmarked for real estate at home. Therefore it has to be examined whether the German real estate returns have...
Persistent link: https://www.econbiz.de/10012962110
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The Performance Implications of Adding Global Listed Real Estate to an Unlisted Real Estate Portfolio : A Case Study for UK Defined Contribution Funds
Moss, Alex - 2015
This paper seeks to provide a better understanding of the performance implications for investors who choose to combine listed real estate with an unlisted real estate allocation. Specifically, it provides a detailed investor level analysis of the impact of combining UK unlisted fund and global...
Persistent link: https://www.econbiz.de/10013021311
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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
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The performance of non-listed opportunity real estate funds in China
Newell, Graeme; Marzuki, Muhammad Jufri; Hoesli, Martin; … - 2021
Institutional investors have sought exposure to the China real estate market, often via opportunity real estate funds. This has been by a pure China opportunity real estate fund or by a pan-Asia opportunity real estate fund where China opportunity real estate was part of this real estate...
Persistent link: https://www.econbiz.de/10012488004
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German Real Estate Returns in International Comparision
Piazolo, Daniel - 2012
Real estate investments have become international. Therefore also the returns have to be judged in an international comparative context. The question arises whether the returns of the German real estate market have justified the investments by domestic and foreign investors? The answer is: Yes...
Persistent link: https://www.econbiz.de/10013112077
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A Comparative Anatomy of REITs and Residential Real Estate Indexes : Returns, Risks and Distributional Characteristics
Cotter, John - 2014
Real Estate Investment Trusts (REITs) are the only truly liquid assets related to real estate investments. We study the behavior of U.S. REITs over the past three decades and document their return characteristics. REITs have somewhat less market risk than equity; their betas against a broad...
Persistent link: https://www.econbiz.de/10013068966
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The Anatomy of Public and Private Real Estate Return Premia
Kroencke, Tim Alexander - 2018
Market-wide, stock market specific and real estate market specific risk - what kind of risk and to which extent drives the returns of listed real estate? Based on a structural asset pricing model calibrated to the empirical data in the U.S., we show that at least two thirds of the risk premium...
Persistent link: https://www.econbiz.de/10012925049