Analysing the performance of nonlisted real estate funds: a panel data analysis

Fuerst, Franz; Matysiak, George

doi:10.1080/00036846.2011.637898

Cited by 43 publications

(31 citation statements)

References 22 publications

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“…Hoffmann, Krause and Laubach (2012) analysed changes in expected house price growth relation to changes in real house price and influence of these variables on aggregate income. Fuerst and Matysiak (2013) found that lagged GDP, government bond rates and stock returns growth are positive predictors of real estate fund performance.…”

Section: House Pricementioning

confidence: 99%

Panel Data Analysis of Public and Private Debt and House Price Influence on GDP in the European Union Countries

Snieška

Burksaitiene

2018

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The panel data analysis of the influence of change in real public debt, real private debt, and deflated house prices on the GDP in selected European countries is performed. Least squares and autoregressive AR(p) model were used with crosssection and period both fixed by dummy variables. The research has confirmed strong negative influence of public debt with zero, one and two year's lags as an independent variable on the GDP as the dependent variable. This is not surprising having in mind limited functionality of the European central bank as a lender of the last resort for the countries of the monetary union, that is, for the most of the analysed countries. This finding also confirms the necessity of the transformation of the European Monetary Union to the European Financial Union. Private debt has definite positive influence on the GDP as the dependent variable. It was confirmed by measuring this influence with zero, one and two and three years lags, but this positive influence was 2-3 times lower than the negative influence of public debt on the GDP. House prices unlagged have similar absolute value of positive influence on the GDP coefficient as the absolute value of the negative influence of lagged public debt, according to the regression coefficients received. However, house prices, leading by 2 years, have negative influence on the GDP, but this influence is almost 5 times weaker than the negative influence of unlagged public debt.

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Section: House Pricementioning

confidence: 99%

Panel Data Analysis of Public and Private Debt and House Price Influence on GDP in the European Union Countries

Snieška

Burksaitiene

2018

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“…A possible explanation for the general trend towards an internationalisation of real estate investments is the concomitant expansion of indirect property investment. Particularly, the investment strategies of 'core' non-listed real estate funds entails domestic or foreign investment into developed economies whereas the less risk-averse 'opportunity' funds also allocate some capital to developing and emerging markets in search of higher returns (Fuerst and Matysiak, 2013;Baum, 2009). Thus, the emergence of new investment vehicles has arguably helped catalyse international property investment in that it managed to overcome some of the problems that are characteristic of this asset class such as low liquidity, strong heterogeneity of individual assets and lumpiness of the asset.…”

Section: Why Are Cross-border Flows Into Property a Relatively Recentmentioning

confidence: 99%

Cross-Border Capital Flows into Real Estate

2013

Proceedings of the 20th Annual European Real Estate Society Conference - Vienna, Austria

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This study investigates the factors that determine the volume of cross-border capital flows into direct real estate markets. In particular, we seek to establish whether existing institutional and regulatory barriers are negatively associated with the average level of cross-border real estate flows into and out of a set of 25 countries. We do not find evidence for cross-border institutional or regulatory arbitrage on the real estate market. Except credit and financial market development, hardly any other institutional and legal barriers impact significantly on the level of real estate inflows. However, the presence of institutional and legal barriers in the domestic country can hinder real estate outflows. Domestic investors are highly dependent on the domestic financial market and on debt financing from the capital markets in general. More transparent credit information serves as a catalyst of cross-border real estate investment activity. Finally, both foreign and domestic inflows are positively linked to property returns in the same year but the volume of foreign flows is generally found to be more reactive to return shocks.

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“…Either of these rationales implicitly assumes that GP firms vary in their ability to lead a fund to success. Such intrinsic ability is often referred to as managerial skill and can manifest itself through a number of outlets, for example, by picking the right markets and investments (Diller and Kaserer 2009;Fuerst and Matysiak 2013;Axelson et al 2009;Anson and Hudson-Wilson 2003;Baum and Farrelly 2009), market timing (Diller and Kaserer 2009;Alcock et al 2013), negotiation skills, ability to source and execute more complex deals (Baum and Farrelly 2009), successfully deploying leverage (Alcock et al 2013) and avoiding losses (Bollen and Pool 2009). Despite the limited empirical evidence on managerial skill in PERE, the expectation that managerial skill affects PERE performance is not unreasonable.…”

Section: Introductionmentioning

confidence: 99%

“…Indeed, as they analyze either raw (Tomperi 2010) or normalized (Hahn et al 2005;Aarts and Baum 2016) returns, the documented persistence can be driven by the funds' risk profiles rather than the skill of the GPs. Existing evidence by Fuerst and Matysiak (2013) and Delfim and Hoesli (2016) shows that fund-specific characteristics such as investment style, vintage and size affect PERE returns, thus indicating that persistence in non-risk-adjusted performance cannot be readily taken as an evidence of managerial skill. Farrelly and Stevenson (2016), on the contrary, find that fund characteristics have little statistically significant effect on fund performance, however, they conjecture that performance is rather driven by exact real estate investment decisions, which, based on the above examples, is also related to the skill of the GP.…”

Section: Introductionmentioning

confidence: 99%

Managerial Skill and European PERE Fund Performance

Sleptcova

Falkenbach

2020

J Real Estate Finan Econ

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Institutional investors often select private equity real estate (PERE) funds based on the belief that some of the managers possess skill. In this paper, we study skill of PERE general partners (GPs) from two perspectives: performance persistence and limited partner (LP) reinvestment. We first risk-adjust fund returns by controlling for fund characteristics and obtain abnormal returns that are driven by managerial skill. We then use pooled OLS and probit regressions on abnormal returns to show that managerial performance persists in our sample, and that skilled managers continue to deliver winning risk-adjusted performance, while for mediocre managers performance does not persist in terms of neither performance correlation nor probability of repeating performance. We also provide evidence that LP reinvestment can serve as a signal of skill, as reinvested funds perform better than non-reinvested ones. This positive effect of reinvestment also applies to the predecessor loser and non-winner funds, suggesting that poor performance does not always indicate the lack of skill, but can be a result of random events.

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Analysing the performance of nonlisted real estate funds: a panel data analysis

Cited by 43 publications

References 22 publications

Panel Data Analysis of Public and Private Debt and House Price Influence on GDP in the European Union Countries

Panel Data Analysis of Public and Private Debt and House Price Influence on GDP in the European Union Countries

Cross-Border Capital Flows into Real Estate

Managerial Skill and European PERE Fund Performance

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