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The Anatomy of Public and Private Real Estate Return Premia

Author

Listed:
  • Tim A. Kroencke

    (University of Basel)

  • Felix Schindler

    (Steinbeis University Berlin
    ZEW Mannheim)

  • Bertram I. Steininger

    (ZEW Mannheim
    RWTH Aachen University)

Abstract

Market-wide, stock market specific, and real estate market specific risk – what kind of risk and to which extent drives the returns of listed real estate? Based on a structural asset pricing model calibrated to the empirical data in the U.S., we show that at least two thirds of the risk premium of listed real estate are driven by the same factors as direct real estate. Our results shed new light on the risk-characteristics of listed real estate returns and are of high interest for academics, regulators, and portfolio managers alike.

Suggested Citation

  • Tim A. Kroencke & Felix Schindler & Bertram I. Steininger, 2018. "The Anatomy of Public and Private Real Estate Return Premia," The Journal of Real Estate Finance and Economics, Springer, vol. 56(3), pages 500-523, April.
    • Handle: RePEc:kap:jrefec:v:56:y:2018:i:3:d:10.1007_s11146-017-9646-8
    DOI: 10.1007/s11146-017-9646-8
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    References listed on IDEAS

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    Cited by:

    1. Eduard Hromada & Tomáš Krulický, 2021. "Investing in Real Estate in the Czech Republic and Analyzing the Dependence of Profitability and Technical and Socio-Economic Factors," Sustainability, MDPI, vol. 13(18), pages 1-12, September.
    2. Bing Zhu & Colin Lizieri, 2024. "Local Beta: Has Local Real Estate Market Risk Been Priced in REIT Returns?," The Journal of Real Estate Finance and Economics, Springer, vol. 69(4), pages 682-718, November.

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    More about this item

    Keywords

    Asset pricing; Direct real estate; Listed real estate; Real estate risk; Business cycle risk;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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