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Real estate performance, the macroeconomy and leverage
Delfim, Jean-Christophe; Hoesli, Martin - 2019
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 …
Persistent link: https://www.econbiz.de/10012052154
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Fractional cointegration analysis of securitized real estate
Serrano, Camilo; Hoesli, Martin - 2009
This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...
Persistent link: https://www.econbiz.de/10003970286
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Linkages between direct and securitized real estate
Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2009
Using data for the 1978-2008 period, this study presents evidence for cointegration between securitized (NAREIT) and direct (NCREIF) total return indices. Cointegration between the indices indicates that REITs and direct real estate are substitutable in the portfolio of a long-horizon...
Persistent link: https://www.econbiz.de/10003970466