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

Martin Hoesli, Elias Oikarinen

Research output: Contribution to journalArticle

4 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)179-198
Number of pages21
JournalJournal of Real Estate Portfolio Management
Volume22
Issue number2
Publication statusPublished - Jan 2016

Fingerprint

Public relations
Derivatives
Real estate
Asset returns
Investment horizon

Cite this

Are public and private asset returns and risks the same? Evidence from real estate data. / Hoesli, Martin; Oikarinen, Elias.

In: Journal of Real Estate Portfolio Management, Vol. 22, No. 2, 01.2016, p. 179-198.

Research output: Contribution to journalArticle

@article{34da2077b1034433adf410079d18ab33,
title = "Are public and private asset returns and risks the same? Evidence from real estate data",
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.",
author = "Martin Hoesli and Elias Oikarinen",
year = "2016",
month = "1",
language = "English",
volume = "22",
pages = "179--198",
journal = "Journal of Real Estate Portfolio Management",
issn = "1083-5547",
publisher = "INST INVESTOR INC",
number = "2",

}

TY - JOUR

T1 - Are public and private asset returns and risks the same? Evidence from real estate data

AU - Hoesli, Martin

AU - Oikarinen, Elias

PY - 2016/1

Y1 - 2016/1

N2 - 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.

AB - 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.

M3 - Article

VL - 22

SP - 179

EP - 198

JO - Journal of Real Estate Portfolio Management

JF - Journal of Real Estate Portfolio Management

SN - 1083-5547

IS - 2

ER -