Does Listed Real Estate Behave Like Direct Real β¦...T F W E European Public Real Estate...
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Does Listed Real Estate Behave Like Direct Real Estate? ACADEMIC RESEARCH
Transcript of Does Listed Real Estate Behave Like Direct Real β¦...T F W E European Public Real Estate...
Does
Listed
Real Estate
Behave Like
Direct Real
Estate?
ACADEMIC
RESEARCH
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Final Report
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Contents table
Martin Hoesli
Elias Oikarinen
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Introduction
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Methods
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π πΈπΌππ,π‘ = πΌπ + π½ππππΆπΌπ,π‘ + ππ,π‘
π½π
π½π
π½π
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Data
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Empirical analysis
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Conclusions
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2000 2002 2004 2006 2008 2010 2012 2014 2016
Australia France Germany
Netherlands U.K. U.S.
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1 2 3 4 5
Co
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Investment Horizon (Years)
Direct vs. Unlevered REITs Direct vs. Levered REITs
Unlevered REITs vs. Stocks Levered REITs vs. Stocks
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-0.03
-0.02
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0 1 2 3 4 5 6 7 8
Risk Premium Shock
REIT response Direct RE response
0.00
0.01
0.02
0.03
0.04
0.05
0.06
0 1 2 3 4 5 6 7 8
Global Liquidity Shock
REIT response Direct RE response
-0.03
-0.02
-0.01
0.00
0.01
0.02
0 1 2 3 4 5 6 7 8
Aggregate Demand Shock
REIT response Direct RE response
-0.04
-0.03
-0.02
-0.01
0.00
0.01
0.02
0 1 2 3 4 5 6 7 8
Credit Demand Shock
REIT response Direct RE response
0.00
0.01
0.02
0.03
0.04
0.05
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Sentiment Shock
REIT response Direct RE response
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0.02
0.04
0.06
0.08
0.10
0.12
0 1 2 3 4 5 6 7 8
REIT Market Shock
REIT response Direct RE response
Direct RE response (alternate)
0.00
0.02
0.04
0.06
0.08
0.10
0.12
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Direct Market Shock
REIT response Direct RE response
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References
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Appendix
4.6
4.8
5.0
5.2
5.4
5.6
5.8
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Australia
4.4
4.8
5.2
5.6
6.0
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France
4.8
5.0
5.2
5.4
5.6
5.8
6.0
6.2
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Germany
4.4
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5.2
5.6
6.0
6.4
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Netherlands
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5.2
5.6
6.0
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U.K.
4.4
4.8
5.2
5.6
6.0
6.4
00 02 04 06 08 10 12 14 16
Fitted Actual
U.S.
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