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The Anatomy of Public and Private Real Estate Return Premia

40 Pages Posted: 25 Jun 2014 Last revised: 3 Aug 2017

Tim Alexander Kroencke

University of Basel

Felix Schindler

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

Bertram I. Steininger

RWTH Aachen University; Centre for European Economic Research (ZEW) - International Finance and Financial Management

Date Written: October 10, 2013

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: G01, 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 (October 10, 2013). Available at SSRN: https://ssrn.com/abstract=2458398 or http://dx.doi.org/10.2139/ssrn.2458398

Tim Alexander Kroencke

University of Basel ( email )

Petersplatz 1
Basel, CH-4003
Switzerland

Felix Schindler

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

Berlin
Germany

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

Postfach 103443
Mannheim, D-68034
Germany

Bertram I. Steininger (Contact Author)

RWTH Aachen University ( email )

Templergraben 64
Aachen, 52056
Germany

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

Postfach 103443
Mannheim, D-68034
Germany

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