The Anatomy of Public and Private Real Estate Return Premia

Posted: 16 Mar 2018

See all articles by Tim Alexander Kroencke

Tim Alexander Kroencke

FHNW School of Business

Felix Schindler

Steinbeis University Berlin - Center for Real Estate Studies; ZEW – Leibniz Centre for European Economic Research - International Finance and Financial Management

Bertram I. Steininger

Royal Institute of Technology (KTH)

Multiple version iconThere are 2 versions of this paper

Date Written: March 13, 2018

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.

Keywords: Asset pricing; Direct real estate; Listed real estate; Real estate risk; Business cycle risk

JEL Classification: G1, G12; G32; R30

Suggested Citation

Kroencke, Tim Alexander and Schindler, Felix and Steininger, Bertram I., The Anatomy of Public and Private Real Estate Return Premia (March 13, 2018). Journal of Real Estate Finance and Economics, Vol. 56, No. 3, 2018, Available at SSRN: https://ssrn.com/abstract=3139925

Tim Alexander Kroencke

FHNW School of Business ( email )

Peter Merian-Strasse 86
Basel, 4002
Switzerland

Felix Schindler

Steinbeis University Berlin - Center for Real Estate Studies ( email )

Berlin
Germany

ZEW – Leibniz Centre for European Economic Research - International Finance and Financial Management ( email )

Postfach 103443
Mannheim, D-68034
Germany

Bertram I. Steininger (Contact Author)

Royal Institute of Technology (KTH) ( email )

Stockholm
Sweden

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