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Media type:
E-Article
Title:
What Factors Determine International Real Estate Security Returns?
Contributor:
Hamelink, Foort;
Hoesli, Martin
Published:
Wiley, 2004
Published in:
Real Estate Economics, 32 (2004) 3, Seite 437-462
Language:
English
DOI:
10.1111/j.1080-8620.2004.00098.x
ISSN:
1080-8620;
1540-6229
Origination:
Footnote:
Description:
We use constrained cross‐sectional regressions to disentangle the effects of various factors on international real estate security returns. Besides a common factor, pure country, property type, size and value/growth factors are considered. The value/growth measure that is used in this paper provides for each security the relative importance of the value and growth components, rather than a binary classification. The value/growth factor is found to be volatile and to have a substantial effect on returns over the period February 1990–April 2003. Country factors are the dominant factors, and size is shown to have a negative impact on returns. Statistical factors derived by means of cluster analysis explain about one third of specific returns on international real estate securities. The implication for portfolio managers is that failing to recognize the importance of the various factors leads to the portfolio being exposed to systematic risk.