Abstract
This study employs an asset pricing approach to quantify the exposure of private real estate funds to both private and publicly traded real estate risk factors. The analysis includes the creation of specific performance indices and the use of methods seeking to address some of the inherent issues with private real estate fund data, such as the high degree of serial correlation in observed total returns. The use of the Driessen et al. (2012) estimator leads to markedly higher risk factor coefficient estimates than seen in the prior literature and estimated with time series regression.
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