THE INFLUENCE OF OWNERSHIP, SECTOR ALLOCATION AND INVESTMENT STYLE ON PORTFOLIO VOLATILITY

The German property market has shown a remarkably stable performance over the last decades. Especially in the worldwide financial crisis 2008 and 2009 German valuation practise has been questioned by international and especially UK market participants. The paper investigates the performance of German properties with a focus on the investor structure and controls for relevant portfolio differences. The paper tests the hypothesis whether performance differences of German properties are attributable to the ownership structure, the portfolio differences regarding sector allocation and different levels of income return. Findings suggest that portfolio ownership has been a significant factor for German property performance in the time of the financial crisis 2008/2009. Partly this can be explained by the different allocations to the sector íindustryî that has the highest volatility within Germany. Furthermore, the selection of íriskierî assets is an explanatory factor.