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Securitized Real Estate and its Link with Financial Assets and Real Estate : An International Analysis

Contributors

Hoesli, Martin E.; Serrano, Camilo

Collection

  • Cahiers de recherche; 2006.03

Publication date

2006

Abstract

This paper provides cross-country evidence of the link between securitized real estate and stocks, bonds, and direct real estate. First, we investigate the behavior of betas in 16 countries and identify the causes of their variation. Second, securitized real estate returns are regressed on "pure" stock, bond and real estate factors. The betas are generally found to decrease over the 1990-2004 period, but the causes for such decline differ across countries. Furthermore, securitized real estate returns are found to be positively associated with stock and direct real estate returns, but negatively related with bond returns. Ultimately, financial assets contribute greatly to the variance of securitized real estate, while the impact of direct real estate is limited. However, a large fraction of the variance is not accounted for by these factors, especially in the U.S., suggesting that other factors are at play.

UNIGE affiliation entities

Citation (ISO format)

HOESLI, Martin E., SERRANO, Camilo. Securitized Real Estate and its Link with Financial Assets and Real Estate : An International Analysis. 2006

Main files (1)

Report

Identifiers

  • PID : unige:5747
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1705downloads

Technical informations

Creation

15/04/2010 12:19:43

First validation

15/04/2010 12:19:43

Update

14/03/2023 15:26:25

Status update

14/03/2023 15:26:25

Last indexation

29/10/2024 14:22:06
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