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Real Estate Performance, the Macroeconomy and Leverage

Author

Listed:
  • Jean-Christophe Delfim

    (University of Geneva)

  • Martin Hoesli

    (University of Geneva - Geneva School of Economics and Management (GSEM); Swiss Finance Institute; University of Geneva - Research Center for Statistics; University of Aberdeen - Business School)

Abstract

Using U.S. data for 1986-2017, the paper focuses on the impacts of macroeconomic risk factors and leverage on the performance of the various types of real estate exposure (direct, non-listed, and listed). The response of core funds to economic risk factors is akin to that of direct investments; however, real estate fund and direct investment performance are less tightly related as more aggressive (i.e., value-added and opportunistic) strategies are envisaged. Only REIT performance is linked to that of the stock market. Leverage matters as it amplifies the responses to the economic factors and hence investment risk.

Suggested Citation

  • Jean-Christophe Delfim & Martin Hoesli, 2019. "Real Estate Performance, the Macroeconomy and Leverage," Swiss Finance Institute Research Paper Series 19-33, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1933
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    File URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3404051
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    Cited by:

    1. Benjamin Kwakye & Chan Tze Haw, 2020. "Interplay of the Macroeconomy and Real Estate: Systematic Review of Literature," International Journal of Economics and Financial Issues, Econjournals, vol. 10(5), pages 262-271.

    More about this item

    Keywords

    Direct real estate; Non-listed real estate; Listed real estate; Macroeconomy; Leverage.;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • R33 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets

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