Forecasting risk and return of listed real estate

Die Prognose von Risiko und Rendite von Immobilienaktien

Carsten Lausberg () and Felix Brandt
Additional contact information
Carsten Lausberg: Nürtingen-Geislingen University

Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), 2024, vol. 10, issue 1, No 1, 38 pages

Abstract: Abstract In this paper a forecasting model for real estate stock returns and risks is developed and tested with the data of German real estate companies from 1991 to 2021. In contrast to several other studies, alternative risk measures are used to adequately reflect investors’ preferences. At first, the paper constructs a traditional five-factor Arbitrage Pricing Theory model to measure the sensitivity of real estate stock returns to the stock, bond and real estate markets as well as to inflation and the overall economy. The analysis shows that German real estate stocks have a high idiosyncratic risk and that they are more impacted by changes in the economy and the stock market than by changes in the real estate market. Then a geometric Brownian motion concept combined with a Monte Carlo simulation is applied to model future asset prices. The downside risk measures value at risk and conditional value at risk are used to quantify the risk for an investor in listed real estate instead of the usual volatility. The paper finds that listed real estate has less downside risk than general stocks.

Keywords: Asset pricing; Real estate stocks; Monte Carlo Simulation; Downside risk; Germany; Asset pricing; Immobilienaktien; Monte Carlo Simulation; Downside-Risiko; Deutschland (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1365/s41056-024-00070-4 Abstract (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:gjorer:v:10:y:2024:i:1:d:10.1365_s41056-024-00070-4

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/41056

DOI: 10.1365/s41056-024-00070-4

Access Statistics for this article

Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research) is currently edited by Kristen Wellner

More articles in Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research) from Springer, Gesellschaft für Immobilienwirtschaftliche Forschung e. V.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().