en
Scientific article
English

Are public and private asset returns and risks the same? evidence from real estate data

Published inThe journal of real estate portfolio management, vol. 22, no. 2, p. 179-198
Publication date2016
Abstract

Real estate constitutes a good laboratory to investigate the similarity of public and private asset returns and risks. We find evidence of a one-to-one long-term relation between public and private real estate performance. Also, the return volatilities do not differ significantly between the public and private markets regardless of investment horizon. The findings have important implications for portfolio management: (1) public and private real estate are close substitutes in a portfolio with a several-year investment horizon and (2) public real estate-related ETFs and derivatives are useful to hedge risks associated with direct real estate holdings or lenders' mortgage inventory.

Keywords
  • REIT
  • Real estate
  • Return
  • Risk
  • Hedging
  • Portfolio allocation
Citation (ISO format)
HOESLI, Martin E., OIKARINEN, Elias. Are public and private asset returns and risks the same? evidence from real estate data. In: The journal of real estate portfolio management, 2016, vol. 22, n° 2, p. 179–198.
Main files (1)
Article (Submitted version)
accessLevelRestricted
Identifiers
  • PID : unige:91415
ISSN of the journal1083-5547
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Technical informations

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