Are Public and Private Asset Returns and Risks the Same? Evidence from Real Estate Data

Martin Hoesli, Elias Oikarinen

Tutkimustuotos: LehtiartikkeliArticleScientificvertaisarvioitu

Abstrakti

Real estate constitutes a good laboratory to investigate the similarity of public and private asset returns and risks. We find evidence of a one-to-one long-term relation between public and private real estate performance. Also, the return volatilities do not differ significantly between the public and private markets regardless of investment horizon. The findings have important implications for portfolio management: (1) public and private real estate are close substitutes in a portfolio with a several-year investment horizon and (2) public real estate-related ETFs and derivatives are useful to hedge risks associated with direct real estate holdings or lenders' mortgage inventory.
AlkuperäiskieliEnglanti
Sivut179-198
Sivumäärä20
JulkaisuJOURNAL OF REAL ESTATE PORTFOLIO MANAGEMENT
Vuosikerta22
Numero2
DOI - pysyväislinkit
TilaJulkaistu - 1 tammikuuta 2016
OKM-julkaisutyyppiA1 Julkaistu artikkeli, soviteltu

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