The anatomy of public and private real estate return premia

Kroencke, Tim A. and Schindler, Felix and Steininger, Bertram I.. (2017) The anatomy of public and private real estate return premia.

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Official URL: http://edoc.unibas.ch/58818/

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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.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Ehemalige Einheiten Wirtschaftswissenschaften > Corporate Finance (Kröncke)
UniBasel Contributors:Kröncke, Tim
Item Type:Working Paper
Publisher:Working Paper
Number of Pages:40
Note:Publication type according to Uni Basel Research Database: Discussion paper / Internet publication
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Last Modified:05 Apr 2018 15:05
Deposited On:05 Apr 2018 15:05

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