The Anatomy of Public and Private Real Estate Return Premia

2018 ◽  
Vol 56 (3) ◽  
pp. 500-523 ◽  
Author(s):  
Tim A. Kroencke ◽  
Felix Schindler ◽  
Bertram I. Steininger
Keyword(s):  
Real Estate ◽  
Public And Private ◽  
Private Real Estate

scholarly journals International Real Estate Review

2016 ◽  
Vol 19 (1) ◽  
pp. 27-49
Author(s):  
William Mingyan Cheung ◽  
◽  
James Chicheong Lei ◽  
Desmond Tsang ◽  
◽  
...  
Keyword(s):  
Real Estate ◽  
Price Discovery ◽  
Common Factor ◽  
Significant Proportion ◽  
Real Estate Market ◽  
Reverse Causality ◽  
Public And Private ◽  
Real Estate Markets ◽  
The Public ◽  
Private Real Estate

This study examines whether property transaction affects the price discovery process in real estate markets. Prior literature shows that price discovery generally first takes place in the securitized public real estate investment trust (REIT) market. We conjecture that property transaction provides novel information to the direct real estate market and can change the dynamics between public and private real estate returns. We employ a unique dataset of property transactions to construct "transaction windows¨ and specifically examine the causality between public and private real estate markets around these periods. We form firm-level pairs of public and private price series, and estimate the normalized common factor loadings per Gonzalo and Granger (1995) by using a vector error-correction model. Our findings show that a significant proportion of price discovery happens in the private market instead of the public REIT market. Our results are robust to investments of different property types and different lengths of transaction windows. Overall, the findings in this study imply that property acquisition and disposition provide crucial information to the private real estate market and induce a reverse causality between the public and private markets.

The Search for Property: Institutional Investment in Real Estate

2017 ◽  
pp. 1-18
Author(s):  
Craig Furfine
Keyword(s):  
Real Estate ◽  
Investment Decision ◽  
Investment Strategy ◽  
Portfolio Theory ◽  
List Type ◽  
Modern Portfolio Theory ◽  
Public And Private ◽  
Institutional Investment ◽  
Real Assets ◽  
Private Real Estate

In the summer of 2013, Whitney DeSoto had just been hired as managing director for real assets at the Overton Pension Fund (OPF). Her task was to provide recommendations to the board of trustees to introduce real estate into the fund's portfolio, which to date had been invested solely in stocks and bonds. Combining her knowledge of modern portfolio theory with her institutional expertise in real estate, DeSoto needed to decide what fraction of the fund should optimally be invested in real assets. She then faced the task of deciding whether to invest in public or private real estate. If she thought private real estate belonged in the portfolio, she would need to identify the best investment strategy, the best vehicle, and ultimately the specific investments to recommend. Apply modern portfolio theory to the investment decision of an institutional investor allocating its assets between stocks, bonds, and real estate Understand the limits of portfolio theory in a real estate context Analyze the benefits/costs of investments in both public and private real estate Understand the various vehicles in which one can invest in private real estate Argue for a set of investments that offer individual benefits/costs relative to a theoretically ideal investment

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