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Risk factors of European non-listed real estate fund returns

机译:欧洲非上市房地产基金收益的风险因素

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摘要

This research contributes to a better assessment of risk factors impacting non-listed real estate fund returns. Both macroeconomic and fund-specific factors are considered, additionally taking into account the phase of the real estate cycle. Using a rich database of fund-level data for Europe, we apply panel regression techniques with random effects. Our results highlight the significant impacts of real GDP growth, interest rates, inflation components, money supply and stock market returns in explaining non-listed fund returns. Size, gearing, investment style, vehicle structure and vintage also affect returns, whereas property type does not appear to matter. For comparison purposes, the same analysis is performed for listed and direct real estate. The three kinds of real estate exposure are found to react broadly in the same way to macroeconomic risk factors, although our analyses suggest that non-listed real estate is more akin to direct real estate than it is to securitised real estate.
机译:这项研究有助于更好地评估影响非上市房地产基金收益的风险因素。还要考虑宏观经济因素和特定于基金的因素,另外还要考虑房地产周期的阶段。通过使用丰富的欧洲基金水平数据数据库,我们应用了具有随机效应的面板回归技术。我们的结果强调了实际GDP增长,利率,通货膨胀成分,货币供应量和股票市场收益对解释非上市基金收益的重大影响。规模,资产负债率,投资风格,车辆结构和年份也会影响收益,而财产类型似乎并不重要。为了进行比较,对上市房地产和直接房地产进行了相同的分析。尽管我们的分析表明,非上市房地产更类似于直接房地产,而不是证券化房地产,但发现这三种房地产风险对宏观经济风险因素的反应大致相同。

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