Abstract
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, we apply panel regression techniques with random effects. Our results highlight the significant impacts of real GDP growth, interest rates, inflation components, money supply and stock market returns in explaining non-listed fund returns. Size, gearing, investment style, vehicle structure and vintage also affect returns, whereas property type does not appear to matter. For comparison purposes, the same analysis is performed for listed and direct real estate. The three kinds of real estate exposure are found to react broadly in the same way to macroeconomic risk factors although our analyses suggest that non-listed real estate is more akin to direct real estate than it is to securitized real estate.
Original language | English |
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Pages (from-to) | 190-213 |
Number of pages | 24 |
Journal | Journal of Property Research |
Volume | 33 |
Issue number | 3 |
Early online date | 11 Jul 2016 |
DOIs | |
Publication status | Published - 2016 |
Bibliographical note
Acknowledgements: We thank INREV (the European Association for Investors in Non-Listed Real Estate Vehicles) for funding a previous version of this research and providing non-listed fund data as well as very useful comments. This version is published as Delfim, J.-C. and Hoesli, M., 2015, Risk Factor Analysis of European Non-Listed Real Estate Funds, Amsterdam: INREV. The usual disclaimer applies. We also thank three anonymous reviewers and the guest editor, Graeme Newell, for insightful remarks.Keywords
- non-listed real estate
- real estate funds
- risk factors
- macroeconomy
- European Markets