Real Estate Performance, the Macroeconomy and Leverage

Jean-Christophe Delfim and Martin Hoesli
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Jean-Christophe Delfim: University of Geneva

No 19-33, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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. (search for similar items in EconPapers)
JEL-codes: E44 G10 R33 (search for similar items in EconPapers)
Pages: 57 pages
Date: 2019-06
New Economics Papers: this item is included in nep-mac and nep-ure
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1933

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