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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.56,Issue3,P.500-523

语言

英文

关键字

Asset pricing; Direct real estate; Listed real estate; Real estate risk; Business cycle risk; REIT RETURNS; PROPERTY; STOCK; BOND; DYNAMICS; MARKETS; RISK

作者单位

[Kroencke, Tim A.] Univ Basel, WWZ, Peter Merian Weg 6, CH-4002 Basel, Switzerland. [Schindler, Felix] Steinbeis Univ Berlin, CRES, Eisenbahnstr 56, D-79098 Freiburg, Germany. [Schindler, Felix; Steininger, Bertram I.] ZEW Mannheim, L7,1, D-68161 Mannheim, Germany. [Steininger, Bertram I.] Rhein Westfal TH Aachen, Sch Business & Econ, Templergraben 64, D-52062 Aachen, Germany. Steininger, BI (reprint author), ZEW Mannheim, L7,1, D-68161 Mannheim, Germany.; Steininger, BI (reprint author), Rhein Westfal TH Aachen, Sch Business & Econ, Templergraben 64, D-52062 Aachen, Germany. E-Mail: bertram.steininger@rwth-aachen.de

摘要

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.