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European non-listed real estate fund risk factors

Author

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  • Jean-Christophe Delfim
  • Martin Hoesli

Abstract

We assess investment risks for European non-listed real estate funds byconsidering a set of macroeconomic and fund-specific factors and by takinginto account the real estate market phase. Using fund-level data, we applypanel regression techniques with random effects. Our results suggest thatno differences exist across sectors. However, we find that there is anoptimal fund size, as there is an optimal gearing level. The latter varies withrespect to investment style and market phase. Investment style, vehiclestructure and vintage also matter. Regarding macroeconomic risk factors,we find significant impacts for real GDP growth, interest rates, inflationcomponents, money supply and stock market returns. For comparisonpurposes, the same analysis is performed for listed and direct real estateinvestments. We find that the three kinds of real estate exposure reactbroadly in the same way to macroeconomic risk factors although coefficientssuggest that non-listed funds are more akin to direct real estate than tolisted real securities.

Suggested Citation

  • Jean-Christophe Delfim & Martin Hoesli, 2016. "European non-listed real estate fund risk factors," ERES eres2016_310, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2016_310
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2016-310
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    Cited by:

    1. Maiia Sleptcova & Heidi Falkenbach, 2021. "Managerial Skill and European PERE Fund Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 62(4), pages 665-690, May.
    2. Fuerst, Franz & Mansley, Nick & Wang, Zilong, 2021. "Do specialist funds outperform? Evidence from European non-listed real estate funds," Research in International Business and Finance, Elsevier, vol. 58(C).
    3. Mansley, Nick & Tse, Tiffany Ching Man & Wang, Zilong, 2020. "Risk classification of Asian real estate funds and their performance," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
    4. 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.
    5. Graeme Newell, 2021. "Future research opportunities for Asian real estate," International Journal of Urban Sciences, Taylor & Francis Journals, vol. 25(2), pages 272-290, April.

    More about this item

    JEL classification:

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

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