does listed real estate behave like direct real β¦...t f w e european public real estate...
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Does
Listed
Real Estate
Behave Like
Direct Real
Estate?
ACADEMIC
RESEARCH
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European Public
Real Estate
Association
Final Report
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European Public
Real Estate
Association
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European Public
Real Estate
Association
Contents table
Martin Hoesli
Elias Oikarinen
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European Public
Real Estate
Association
Introduction
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Real Estate
Association
Methods
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Real Estate
Association
π πΈπΌππ,π‘ = πΌπ + π½ππππΆπΌπ,π‘ + ππ,π‘
π½π
π½π
π½π
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European Public
Real Estate
Association
Data
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Real Estate
Association
Empirical analysis
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European Public
Real Estate
Association
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European Public
Real Estate
Association
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European Public
Real Estate
Association
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European Public
Real Estate
Association
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European Public
Real Estate
Association
Conclusions
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Real Estate
Association
.3
.4
.5
.6
.7
.8
2000 2002 2004 2006 2008 2010 2012 2014 2016
Australia France Germany
Netherlands U.K. U.S.
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Real Estate
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Real Estate
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0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
1 2 3 4 5
Co
rrel
atio
n C
oef
fici
ent
Investment Horizon (Years)
Direct vs. Unlevered REITs Direct vs. Levered REITs
Unlevered REITs vs. Stocks Levered REITs vs. Stocks
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-0.04
-0.03
-0.02
-0.01
0.00
0 1 2 3 4 5 6 7 8
Risk Premium Shock
REIT response Direct RE response
0.00
0.01
0.02
0.03
0.04
0.05
0.06
0 1 2 3 4 5 6 7 8
Global Liquidity Shock
REIT response Direct RE response
-0.03
-0.02
-0.01
0.00
0.01
0.02
0 1 2 3 4 5 6 7 8
Aggregate Demand Shock
REIT response Direct RE response
-0.04
-0.03
-0.02
-0.01
0.00
0.01
0.02
0 1 2 3 4 5 6 7 8
Credit Demand Shock
REIT response Direct RE response
0.00
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0 1 2 3 4 5 6 7 8
Sentiment Shock
REIT response Direct RE response
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Real Estate
Association
0.00
0.02
0.04
0.06
0.08
0.10
0.12
0 1 2 3 4 5 6 7 8
REIT Market Shock
REIT response Direct RE response
Direct RE response (alternate)
0.00
0.02
0.04
0.06
0.08
0.10
0.12
0 1 2 3 4 5 6 7 8
Direct Market Shock
REIT response Direct RE response
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Real Estate
Association
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Real Estate
Association
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Real Estate
Association
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European Public
Real Estate
Association
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Real Estate
Association
References
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Real Estate
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Appendix
4.6
4.8
5.0
5.2
5.4
5.6
5.8
6.0
00 02 04 06 08 10 12 14 16
Australia
4.4
4.8
5.2
5.6
6.0
6.4
00 02 04 06 08 10 12 14 16
France
4.8
5.0
5.2
5.4
5.6
5.8
6.0
6.2
00 02 04 06 08 10 12 14 16
Germany
4.4
4.8
5.2
5.6
6.0
6.4
00 02 04 06 08 10 12 14 16
Netherlands
4.4
4.8
5.2
5.6
6.0
6.4
00 02 04 06 08 10 12 14 16
U.K.
4.4
4.8
5.2
5.6
6.0
6.4
00 02 04 06 08 10 12 14 16
Fitted Actual
U.S.
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