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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

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

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

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

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

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

Behavioural real estate

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

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

The Bank of Japan as a Real Estate Tycoon : Large-Scale REIT Purchases

Hattori, Takahiro - 2020

This is the first study analyzing the Bank of Japan's purchases of real estate investment trusts (REITs) that started in 2010 as part of enhanced unconventional monetary policy. The Bank purchases REIT shares after observing a significantly negative return over the previous night and during the...

Persistent link: https://www.econbiz.de/10012839649

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