The Anatomy of Public and Private Real Estate Return Premia
Posted: 16 Mar 2018
Date Written: March 13, 2018
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
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