What Factors Determine International Real Estate Security Returns?

Author InfoHamelink, Foort (
liame2('com','hamelink','m7i7','foort')
foort@hamelink.com) (Lombard Odier & Cie (Geneva))Hoesli, Martin (
liame2('ch','unige','hec','m7i7','hoesli','martin')
martin.hoesli@hec.unige.ch) (University of Geneva)
AbstractIn this paper, we use constrained cross-section regressions to disentangle the effects of various factors on real estate security returns in 21 countries. A better knowledge of the risk factors driving real estate returns is crucial, whether a pure real estate portfolio is constructed, or whether real estate is considered as an alternative asset class within the traditional stock portfolio. Besides a common factor, “pure” country, size, and value/growth factors are considered. The value/growth measure that is used in this paper is a unique indicator developed by Salomon Smith Barney (SSB). It provides for each stock the relative importance of the value and growth components, rather than using a binary classification. The value/growth factor is found to have a substantial and increasing effect on returns over the analyzed period February 1990-April 2002. Country factors are important determinants of real estate security returns also. Statistical analysis of the residuals indicates that additional “hidden” factors most likely exist. These statistical factors are shown to explain about one third of specific returns on international real estate securities. Nevertheless, as is the case for traditional stock portfolios, stock picking keeps all its importance for real estate stocks as well.

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Publisher InfoPaper provided by Swedish Institute for Financial Research in its series SIFR Research Report Series with number 7.
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIFLength: 26 pagesDate of creation: 15 Sep 2002Date of revision: Publication status: Published in Real Estate Economics, 2004, pages 437-462.Handle: RePEc:hhs:sifrwp:0007
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Related researchKeywords: securitized real estate international diversification multi-factor model value/growth
Find related papers by JEL classification: C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
NEP-ALL-2002-12-09 (All new papers)
NEP-CFN-2002-12-09 (Corporate Finance)
NEP-URE-2002-12-09 (Urban & Real Estate Economics) References listed on IDEASPlease report citation or reference errors to
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Jose.Barrueco@uv.es, or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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What Factors Determine International Real Estate Security Returns? 2008-07-27T04:15:00-07:00 Rating: 4.5 Diposkan Oleh: Merlyn Rosell