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,...

This paper aims at providing both a conceptual and practical framework for assessing real estate risk factors as a way of predicting real estate yields. Real estate returns - as those of any financial asset - are linked to their risk. However, real estate risk is much more difficult to measure...

Previous research finds that the cap rate, that is, the income-price ratio of commercial real estate, predicts future investment returns. This finding's implication on the efficiency of the real estate market crucially depends on whether the cap rate also predicts future risk. Using accurately...

We provide a systematic study of how financial and real estate uncertainty affect the aggregate return performance of the US REIT market from 1972 to 2017. A temporal causality analysis reveals a negative uncertainty impact on REIT returns. The asset pricing analysis confirms a negative relation...

Recent research has shown that macroeconomic uncertainty is a significant factor that is contemporaneously incorporated into asset returns. Therefore, it should not have a role in predicting future returns. At the same time, separate research has demonstrated that illiquidity is related to...

In this paper we investigate the portfolio implications of liquidity costs and uncertainty aversion across asset classes. In many cases, financial securities such as equities trade in active markets in which equity owners can liquidate their holdings quickly and with little price concession. In...

Using a sample of CCIM designees and candidates in an experimental setting, this study examines the impact of broker signaling in commercial real estate transactions. It also explores the effect of certainty of closure in commercial real estate transactions. Findings suggest brokers are able to...

Real option theory models real estate development as a developer-controlled exercise of an option to construct the optimal structure at the optimal time. In practice, most projects encounter a highly uncertain entitlement (i.e., regulatory approval) process that is largely uncontrollable by the...

A property's location is often considered to be the ultimate determinant of its investment performance. But how exactly does a property's location influence its risk and return? We focus on the effects of location density on the risk and return of commercial real estate investments. We do this...

The study examines the relationship between systematic risk of Australian Real Estate Investment Trusts (A-REITs) and their debt characteristics over the period 1995 to 2008, controlling for firm size, organizational structure, property type, and time varying patterns in beta estimates. Both...