Analyzing the Performance of Non-Listed Real Estate Funds: A Panel Data Analysis

12 Pages Posted: 18 Mar 2009 Last revised: 5 Sep 2012

See all articles by George Matysiak

George Matysiak

City University London - Faculty of Finance

Franz Fuerst

University of Cambridge - Department of Land Economy; University of Melbourne; City University of New York - Center for Urban Research

Date Written: March 17, 2009

Abstract

The rapid growth of non-listed real estate funds over the last several years has contributed towards establishing this sector as a major investment vehicle for gaining exposure to commercial real estate. Academic research has not kept up with this development, however, as there are still only a few published studies on non-listed real estate funds. This paper aims to identify the factors driving the total return over a seven-year period.

Influential factors tested in our analysis include the weighted underlying direct property returns in each country and sector as well as fund size, investment style gearing and the distribution yield. Furthermore, we analyze the interaction of non-listed real estate funds with the performance of the overall economy and that of competing asset classes and found that lagged GDP growth and stock market returns as well as contemporaneous government bond rates are significant and positive predictors of annual fund performance.

Keywords: unlisted real estate funds, performance analysis, commercial real estate, panel data analysis

JEL Classification: C23, F21, G11

Suggested Citation

Matysiak, George A. and Fuerst, Franz, Analyzing the Performance of Non-Listed Real Estate Funds: A Panel Data Analysis (March 17, 2009). Available at SSRN: https://ssrn.com/abstract=1361808 or http://dx.doi.org/10.2139/ssrn.1361808

George A. Matysiak

City University London - Faculty of Finance ( email )

London, EC2Y 8HB
Great Britain
+44 171 477 8218 (Phone)
+44 171 477 8573 (Fax)

Franz Fuerst (Contact Author)

University of Cambridge - Department of Land Economy ( email )

19 Silver Street
Cambridge, CB3 9EP
United Kingdom

HOME PAGE: http://www.landecon.cam.ac.uk/directory/dr-franz-fuerst

University of Melbourne ( email )

185 Pelham Street
Carlton, Victoria 3053
Australia

City University of New York - Center for Urban Research

CUNY The Graduate Center
New York, NY 10011
United States

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