IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v53y2021i26p3023-3042.html
   My bibliography  Save this article

Does listed real estate behave like direct real estate? Updated and broader evidence

Author

Listed:
  • Martin Hoesli
  • Elias Oikarinen

Abstract

This study investigates a question relevant to many investors: do the broad Real Estate Investment Trust (REIT) return characteristics reflect those of the broad direct real estate markets. The paper makes several contributions to the literature in addition to using more recent data: (1) we use data for six countries (Australia, France, Germany, Netherlands, the U.K., and the U.S.); (2) we estimate both country-specific and panel models to increase the reliability and generalizability of the analysis; (3) we estimate a structural vector autoregressive model to be able to better and more reliably interpret the various shocks in the system; and (4) we investigate the effects of global liquidity shocks, among other shocks. Our results indicate that over the mid to long horizon, broad REIT and direct returns have similar characteristics and are highly correlated at the panel level. Also, the two types of exposure to real estate exhibit similar reactions to economic shocks. Thus, the paper makes a case that investors do not necessarily need to worry much about compositional effects when aiming to track broad international direct market performance by investing in listed real estate.

Suggested Citation

  • Martin Hoesli & Elias Oikarinen, 2021. "Does listed real estate behave like direct real estate? Updated and broader evidence," Applied Economics, Taylor & Francis Journals, vol. 53(26), pages 3023-3042, June.
    • Handle: RePEc:taf:applec:v:53:y:2021:i:26:p:3023-3042
    DOI: 10.1080/00036846.2020.1870921
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2020.1870921
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2020.1870921?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Martin Hoesli & Richard Malle, 2022. "Commercial real estate prices and COVID-19," Post-Print hal-03611776, HAL.
    2. Martin Hoesli & Richard Malle, 2021. "Commercial Real Estate Prices and Covid-19," Working Papers hal-03186131, HAL.

    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:53:y:2021:i:26:p:3023-3042. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.