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Is real estate private equity real estate? - Dynamic interactions between real estate private equity funds, non-real estate private equity funds, and direct real estate investments

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  • Randy I. Anderson
  • Sebastian Krautz
  • Nico B. Rottke

Abstract

In this study, we investigate long- and short-run synchronicity of the US-focused non-core real estate private equity (REPE) fund indices in relation to direct real estate (RE) and non-real estate private equity fund (PE) indices. We test cointegration relationships between the indices and specify different vector error correction models for opportunistic and value-added REPE funds. Our results are robust to various model specifications and suggest that in the long-run risk and return of both, opportunistic and value-added REPE markets follow the direct real estate market more closely than the private equity market. Moreover, short-run opportunistic REPE returns are significantly cointegrated with the direct real estate as well as the private equity market. For value-added REPE fund returns, we find short-run interactions only with the private equity market, but not with the real estate market. Based on the risk/return characteristics, we suggest to use the term real estate private equity over private equity real estate, as value-added and opportunistic real estate funds are a lot closer related to direct real estate than to private equity.

Suggested Citation

  • Randy I. Anderson & Sebastian Krautz & Nico B. Rottke, 2016. "Is real estate private equity real estate? - Dynamic interactions between real estate private equity funds, non-real estate private equity funds, and direct real estate investments," Journal of Property Research, Taylor & Francis Journals, vol. 33(3), pages 252-268, July.
    • Handle: RePEc:taf:jpropr:v:33:y:2016:i:3:p:252-268
    DOI: 10.1080/09599916.2016.1209781
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    References listed on IDEAS

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    1. Alexander Schätz & Steffen Sebastian, 2009. "Real Estate Equities - Real Estate or Equities?," ERES eres2009_305, European Real Estate Society (ERES).
    2. repec:arz:wpaper:eres2009-305 is not listed on IDEAS
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    Cited by:

    1. Martin Hoesli & Graeme Newell & Muhammad Jufri Bin Marzuki & Rose Neng Lai, 2022. "The Performance and Diversification Potential of Non-Listed Value-Add Real Estate Funds in Japan," JRFM, MDPI, vol. 15(5), pages 1-16, April.

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