The anatomy of public and private real estate return premia
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Publication date
2018
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Type
01A - Journal article
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Parent work
The Journal of Real Estate Finance and Economics
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DOI of the original publication
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Series
Series number
Volume
56
Issue / Number
Pages / Duration
500–523
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Publisher / Publishing institution
Springer
Place of publication / Event location
London
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Abstract
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 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 academics, regulators, and portfolio managers alike.
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Subject (DDC)
330 - Wirtschaft
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ISBN
ISSN
1573-045X
0895-5638
0895-5638
Language
English
Created during FHNW affiliation
No
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Publication status
Published
Review
Peer review of the complete publication
Open access category
Closed
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Citation
KRÖNCKE, Tim, Felix SCHINDLER und Bertram I. STEININGER, 2018. The anatomy of public and private real estate return premia. The Journal of Real Estate Finance and Economics. 2018. Bd. 56, S. 500–523. DOI 10.1007/s11146-017-9646-8. Verfügbar unter: https://irf.fhnw.ch/handle/11654/48219