A1 Refereed original research article in a scientific journal

Are public and private asset returns and risks the same? Evidence from real estate data




AuthorsMartin Hoesli, Elias Oikarinen

PublisherAmerican Real Estate Society

Publication year2016

JournalJournal of Real Estate Portfolio Management

Journal name in sourceJournal of Real Estate Portfolio Management

Volume22

Issue2

First page 179

Last page198

ISSN1083-5547

Web address http://aresjournals.org/doi/abs/10.5555/1083-5547-22.2.179


Abstract

Real estate constitutes a good laboratory to investigate the similarity of public and private asset returns and risks. We find evidence of a one-to-one long-term relation between public and private real estate performance. Also, the return volatilities do not differ significantly between the public and private markets regardless of investment horizon. The findings have important implications for portfolio management: (1) public and private real estate are close substitutes in a portfolio with a several-year investment horizon and (2) public real estate-related ETFs and derivatives are useful to hedge risks associated with direct real estate holdings or lenders' mortgage inventory.



Last updated on 2024-26-11 at 16:31