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Paper eres2017_57:
Time Varying Betas of European listed Real Estate.

id eres2017_57
authors Simon, Arnaud; Saadallah Zaiter
year 2017
title Time Varying Betas of European listed Real Estate.
source 24th Annual European Real Estate Society Conference in Delft, Netherlands
summary New REIT (Real Estate Investment Trust) regimes have been adopted in numerous European countries over the last 15 years. The aim was to increase transparency and intensify the link between listed and direct real estate; hence reduce it between listed real estate and the general stock market. However, in this paper, we acknowledge a positive jump in the European listed real estate market Beta.We find different results depending on the country, on the size of the company and whether she has adopted or not the tax-exempt status (REIT).We examine structural changes in the systematic risk (as measured by Beta) of 150 listed real estate companies (Both REITs and non-REITs) between 2000 and 2015.Real estate betas have been through various structural breaks which coincide with multiple events. We try to identify the most influencing ones, that are not necessarily the regime shift themselves.
keywords REITs; European Listed Real Estate; Systematic Risk Factor; Performance Analysis; Event Study
series ERES:conference
type paper session
discussion No discussions. Post discussion ...
ratings
session Market Research, Analysis & Forecasting
last changed 2017/11/18 16:20
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