IDEAS home Printed from https://ideas.repec.org/h/nbp/nbpchp/13.html
   My bibliography  Save this book chapter

Non-listed real estate funds: leverage and macroeconomic effects

In: Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis, 2013

Author

Listed:
  • Franz Fuerst
  • Wayne T Lim
  • George Matysiak

Abstract

This research investigates the key drivers of European non-listed real estate funds performance. In particular, it seeks to understand the extent to which stock-selection, management skills, gearing, fund size, competing asset classes and macroeconomic performance contribute to a fund’s total return. Our attribution of fund performance is primarily based on average r eturn data in the m arkets t o w hich t he fund is exposed. Using a proprietary database compiled by INREV covering the period 2001-2012, we analyse the performance characteristics of non-listed funds. Tracking fund performance and its drivers through the years of rapid expansion of the sector, followed by the sharp contraction during the global financial crisis, allows us to establish whether performance drivers have a differential impact during market upturns and downturns. We find that fund performance d uring t he s tudy p eriod w as predominantly driven by the underlying market and sector exposure of a fund, gearing, fund size, GDP growth, and competing asset classes.

Suggested Citation

  • Franz Fuerst & Wayne T Lim & George Matysiak, 2013. "Non-listed real estate funds: leverage and macroeconomic effects," Chapters from NBP Conference Publications, in: Hanna Augustyniak & Jacek Łaszek & Krzysztof Olszewski (ed.), Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis, 2013, chapter 13, pages 73-95, Narodowy Bank Polski.
    • Handle: RePEc:nbp:nbpchp:13
    as

    Download full text from publisher

    File URL: https://static.nbp.pl/publikacje/materialy-i-studia/182_en_2.pdf
    Download Restriction: no
    ---><---

    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:nbp:nbpchp:13. 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: Jakub Growiec (email available below). General contact details of provider: https://edirc.repec.org/data/nbpgvpl.html .

    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.