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Time Varying Betas of European listed Real Estate

Author

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  • Arnaud Simon
  • Saadallah Zaiter

Abstract

New REIT (Real Estate Investment Trust) regimes have been adopted in numerous European countries over the last 15 years. The aim was to increase transparency and intensify the link between listed and direct real estate; hence reduce it between listed real estate and the general stock market. However, in this paper, we acknowledge a positive jump in the European listed real estate market Beta. We find different results depending on the country, on the size of the company and whether she has adopted or not the tax-exempt status (REIT). We examine structural changes in the systematic risk (as measured by Beta) of 150 listed real estate companies (Both REITs and non-REITs) between 2000 and 2015. Real estate betas have been through various structural breaks which coincide with multiple events. We try to identify the most influencing ones, that are not necessarily the regime shift themselves.

Suggested Citation

  • Arnaud Simon & Saadallah Zaiter, 2017. "Time Varying Betas of European listed Real Estate," ERES eres2017_57, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2017_57
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    More about this item

    Keywords

    European Listed Real Estate; Event Study; Performance Analysis; REITs; Systematic Risk Factor;
    All these keywords.

    JEL classification:

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

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