- Autor
- Sharma Manu
- Tytuł
- Comparative Analysis: Influence of Interest Rates on Returns of Real Estate Private Equity Index and Real Estate Public Equity Index
- Źródło
- Real Estate Management and Valuation, 2022, vol. 30, iss. 4, s. 17-24, tab., rys., bibliogr. 12 poz.
- Słowa kluczowe
- Nieruchomości, Stopa procentowa, Private equity
Real estate, Interest rate, Private equity - Uwagi
- Klasyfikacja JEL: R10, R30.
summ. - Abstrakt
- In this paper, we studied the influence of interest rates on a US-based real estate private equity index as well US Wilshire public equity REIT Index. The interest rates that are chosen as independent variables include Monthly LIBOR, Yearly LIBOR and the Federal Cost of Funds Index. The dependent variables include US-based real estate private equity index that includes quarterly returns of 1,035 real estate funds, including liquidated funds formed between 1986 and 2018. The other dependent variable is the US Wilshire REIT Index. The variance of returns of interest rates considerably influences the variance of returns of the US PERE Index, whereas variance of returns of interest rates doesn't influence the variance of returns of the US Wilshire REIT Index. Also, the real estate index is positively correlated to interest rates and so rising interest rates influence the returns of US PERE Index in a positive manner. The study shows that private equity real estate investors should expect higher return as the cost of funds increase. (original abstract)
- Pełny tekst
- Pokaż
- Bibliografia
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- Akimov, A., Lee, C. L., & Stevenson, S. (2019). Interest rate sensitivity in european public real estate markets. Journal of Real Estate Portfolio Management, 25(2), 138-150. https://doi.org/10.1080/10835547.2020.1803694
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- Cvijanović, D. (2014). The Review of Financial Studies. Real Estate Prices and Firm Capital Structure, 27(9), 2690-2735.
- Alcock, J., Baum, A., Colley, N., & Steiner, E. (2013). The role of financial leverage in the performance of private equity real estate funds. The Journal of Portfolio Management, 39(5), 99-110.
- Farrelly, K., & Stevenson, S. (2019). The risk and return of private equity real estate funds. Global Finance Journal 42, 100471.
- Peng, L., & Thibodeau, T. G. (2020). Interest rates and investment: evidence from commercial real estate. The Journal of Real Estate Finance and Economics, 60(4), 554-586. https://doi.org/10.1007/s11146-019-09699-8
- Fisher, L. M., & Hartzell, D. J. (2016). Class Differences in Real Estate Private Equity Fund Performance. The Journal of Real Estate Finance and Economics, 52, 327-346.
- Giliberto, M., & Shulman, D. (2017). On the interest rate sensitivity of REITs: Evidence from twenty years of daily data. Journal of Real Estate Portfolio Management, 23(1), 7-20. https://doi.org/10.1080/10835547.2017.12089998
- Stevenson, S., Wilson, P. J., & Zurbruegg, R. (2007). Assessing the time-varying interest rate sensitivity of real estate securities. European Journal of Finance, 13(8), 705-715. https://doi.org/10.1080/13518470701705678
- Ito, T. (2020). Do long-term swap rate and stock price give an impact on Japanese real estate investment trust market under quantitative and qualitative easing and negative interest rate policy? Journal of Corporate Accounting & Finance, 31(3), 15-19. https://doi.org/10.1002/jcaf.22431
- Arnold, T.R., Ling, D.C. & Naranjo, A. (2019). Private equity real estate funds: Returns, risk exposures, and persistence. The Journal of Portfolio Management Special Real Estate Issue, 45(7), 24-4. https://doi.org/10.3905/jpm.2019.1.103
- Cytowane przez
- ISSN
- 2300-5289
- Język
- eng
- URI / DOI
- http://dx.doi.org/doi.org/10.2478/remav-2022-0026
