Abstract
We assess investment risks for European non-listed real estate funds byconsidering a set of macroeconomic and fund-specific factors and by takinginto account the real estate market phase. Using fund-level data, we applypanel regression techniques with random effects. Our results suggest thatno differences exist across sectors. However, we find that there is anoptimal fund size, as there is an optimal gearing level. The latter varies withrespect to investment style and market phase. Investment style, vehiclestructure and vintage also matter. Regarding macroeconomic risk factors,we find significant impacts for real GDP growth, interest rates, inflationcomponents, money supply and stock market returns. For comparisonpurposes, the same analysis is performed for listed and direct real estateinvestments. We find that the three kinds of real estate exposure reactbroadly in the same way to macroeconomic risk factors although coefficientssuggest that non-listed funds are more akin to direct real estate than tolisted real securities.
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