Real Estate Performance, the Macroeconomy and Leverage
57 Pages Posted: 20 Jun 2019
Date Written: June 13, 2019
Using U.S. data for 1986-2017, the paper focuses on the impacts of macroeconomic risk factors and leverage on the performance of the various types of real estate exposure (direct, non-listed, and listed). The response of core funds to economic risk factors is akin to that of direct investments; however, real estate fund and direct investment performance are less tightly related as more aggressive (i.e., value-added and opportunistic) strategies are envisaged. Only REIT performance is linked to that of the stock market. Leverage matters as it amplifies the responses to the economic factors and hence investment risk.
Keywords: Direct real estate; Non-listed real estate; Listed real estate; Macroeconomy; Leverage
JEL Classification: E44, G10, R33
Suggested Citation: Suggested Citation