Real Estate Performance, the Macroeconomy and Leverage

57 Pages Posted: 20 Jun 2019

See all articles by Jean-Christophe Delfim

Jean-Christophe Delfim

University of Geneva - Geneva School of Economics and Management

Martin Hoesli

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

Date Written: June 13, 2019

Abstract

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

Delfim, Jean-Christophe and Hoesli, Martin Edward Ralph, Real Estate Performance, the Macroeconomy and Leverage (June 13, 2019). Swiss Finance Institute Research Paper No. 19-33, June 2019, Available at SSRN: https://ssrn.com/abstract=3404051 or http://dx.doi.org/10.2139/ssrn.3404051

Jean-Christophe Delfim

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

Uni Mail
Bd du Pont-d'Arve 40
Geneva, 1211
Switzerland

Martin Edward Ralph Hoesli (Contact Author)

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

40 Boulevard du Pont d'Arve
Geneva 4, Geneva 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 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)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
143
Abstract Views
764
rank
228,922
PlumX Metrics