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TRANSCRIPT
Does
Listed
Real Estate
Behave Like
Direct Real
Estate?
ACADEMIC
RESEARCH
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Final Report
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Contents table
Martin Hoesli
Elias Oikarinen
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Introduction
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Methods
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π πΈπΌππ,π‘ = πΌπ + π½ππππΆπΌπ,π‘ + ππ,π‘
π½π
π½π
π½π
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Data
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Empirical analysis
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Conclusions
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2000 2002 2004 2006 2008 2010 2012 2014 2016
Australia France Germany
Netherlands U.K. U.S.
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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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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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References
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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.