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The Anatomy of Public and Private Real Estate Return Premia
Univ Basel, WWZ, Peter Merian Weg 6, CH-4002 Basel, Switzerland.
Steinbeis Univ Berlin, CRES, Eisenbahnstr 56, D-79098 Freiburg, Germany;ZEW Mannheim, L7,1, D-68161 Mannheim, Germany.
ZEW Mannheim, L7,1, D-68161 Mannheim, Germany;Rhein Westfal TH Aachen, Sch Business & Econ, Templergraben 64, D-52062 Aachen, Germany.ORCID iD: 0000-0002-3384-7166
2018 (English)In: Journal of real estate finance and economics, ISSN 0895-5638, E-ISSN 1573-045X, Vol. 56, no 3, p. 500-523Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Springer, 2018. Vol. 56, no 3, p. 500-523
Keywords [en]
Asset pricing, Direct real estate, Listed real estate, Real estate risk, Business cycle risk
National Category
Business Administration Economics
Identifiers
URN: urn:nbn:se:kth:diva-260798DOI: 10.1007/s11146-017-9646-8ISI: 000428571200007Scopus ID: 2-s2.0-85040823083OAI: oai:DiVA.org:kth-260798DiVA, id: diva2:1356086
Note

QC 20191011

Available from: 2019-09-30 Created: 2019-09-30 Last updated: 2019-10-11Bibliographically approved

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Steininger, Bertram I.

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