Market-wide, stock market specific, and real estate market specific risk – what kind of risk and to which extent drives ….S., we show that at least two thirds of the risk premium of listed real estate are driven by the same factors as direct real … estate. Our results shed new light on the risk-characteristics of listed real estate returns and are of high interest for …

Market-wide, stock market specific and real estate market specific risk - what kind of risk and to which extent drives ….S., we show that at least two thirds of the risk premium of listed real estate are driven by the same factors as direct real … estate. Our results shed new light on the risk-characteristics of listed real estate returns and are of high interest for …

persistently deliver superior risk-adjusted returns. The research that has been published has typically focused on the performance …. The widespread finding is that very few managers appear to be able to generate excess risk-adjusted returns. Furthermore …, there is little evidence of performance persistence in either fund returns or risk-adjusted fund returns …

This research contributes to a better assessment of risk factors impacting non-listed real estate fund returns. Both … macroeconomic risk factors although our analyses suggest that non-listed real estate is more akin to direct real estate than it is …

of long-term stock market volatility. When long-term volatility is high, stock returns are more sensitive to news, and …-linear present value framework with a two-component volatility model for the conditional variance of cash flow news and allowing for … volatility feedback. In our model, innovations to the long-term volatility component are the most important driver of discount …

examined. Thus, there is no evidence that using a risk-based portfolio design that emphasizes low volatility would improve …We examine the market for U.S. equity real estate investment trusts (REITs) for evidence of the volatility effect, in … which low volatility stocks tend to outperform high volatility ones, as has been found in the general equity market by prior …