Securitized Real Estate and its Link With Financial Assets and Real Estate: An International Analysis

27 Pages Posted: 18 Oct 2007 Last revised: 29 Nov 2009

See all articles by Martin Hoesli

Martin Hoesli

University of Geneva - Geneva School of Economics and Management (GSEM); Swiss Finance Institute; University of Geneva - Research Center for Statistics; University of Aberdeen - Business School

Camilo Serrano

IAZI AG - CIFI SA

Date Written: April 1, 2006

Abstract

This paper provides cross-country evidence of the link between securitized real estate and stocks, bonds, and direct real estate. First, we investigate the behavior of betas in 16 countries and identify the causes of their variation. Second, securitized real estate returns are regressed on "pure" stock, bond and real estate factors. The betas are generally found to decrease over the 1990-2004 period, but the causes for such decline differ across countries. Securitized real estate returns are found to be positively associated with stock and direct real estate returns, but negatively related to bond returns. Financial assets contribute greatly to the variance of securitized real estate, while the impact of direct real estate is limited. However, a large fraction of the variance is not accounted for by these factors, especially in the U.S., suggesting that other factors are at play.

Keywords: Multifactor Models, Betas, Pure Factors, Securitized Real Estate

JEL Classification: G12, C21, C51

Suggested Citation

Hoesli, Martin Edward Ralph and Serrano, Camilo, Securitized Real Estate and its Link With Financial Assets and Real Estate: An International Analysis (April 1, 2006). Journal of Real Estate Literature, Vol. 15, No. 1, 2007. Available at SSRN: https://ssrn.com/abstract=1022505

Martin Edward Ralph Hoesli

University of Geneva - Geneva School of Economics and Management (GSEM) ( email )

40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

University of Geneva - Research Center for Statistics ( email )

Geneva
Switzerland

University of Aberdeen - Business School ( email )

Edward Wright Building
Dunbar Street
Aberdeen, Scotland AB24 3QY
United Kingdom
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)

Camilo Serrano (Contact Author)

IAZI AG - CIFI SA ( email )

Tramstrasse 10
Zurich, CH-8050
Germany

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