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This paper aimed to examine the return/risk performance of direct and indirect real estate (listed property stock) in the Nigerian real estate market and analyzed the short-term integration between the two classes of real estate assets. It also established whether investors could achieve diversification benefits by combining both assets in a portfolio.

The data utilized comprised annual returns on direct real estate calculated from the rental and capital values of 226 direct commercial properties obtained from property valuers in Lagos, Nigeria, for a period of January 1999-December 2014. The appraisal-based direct real estate returns were de-smoothed using the Geltner (1993) procedure. The annual returns of indirect real estate were also computed from the transactions of listed property stock on the Nigerian Stock Exchange for the study period. The return-risk profiles were also broken down into short- and medium-term sub-periods, comprising 3, 5, 8 and 12 years to reflect the level of volatility in the market, whereas the nature of the short-term relationship between the two real estate assets classes was tested using Granger causality technique.

The results revealed that listed property stock performed better than unsmoothed direct real estate on a risk-adjusted performance basis. The performance profile, however, varies over the different sub-periods considered. Short-term integration analysis showed that there was no bidirectional relationship between direct and listed property stock, implying diversification and risk reduction possibilities in combining both assets with other asset classes in a domestic asset portfolio. Overall, the results confirm the findings of previous study that listed property stocks return is segmented from the direct real estate market upon which its pricing and trading in the stock market are based.

The conclusion of the study suggests that investors could achieve improved performance by investing in listed property stocks than direct real estate in the Nigerian real estate market. The inclusion of both assets in a domestic mixed-asset portfolio could also be expected to offer diversification and risk reduction benefits.

This is one of the few studies that examine the short-run integration between direct real estate and listed property stocks with a focus on an emerging African market.

Germany is the biggest real estate market in Europe. Although some established vehicles for indirect property investments are available, the German real estate market is dominated by direct investments and lags behind its international peers in capital market integration. The purpose of this study is to examine whether the recent launch of German REITs may improve this situation.

Existing indirect property investment vehicles and the new G‐REIT are analysed and compared along the dimensions of transparency, liquidity and risk/return characteristics. In addition, potential capital flows into G‐REITs are investigated and economic implications derived.

The study identifies the limitations of existing German indirect real estate investment vehicles and demonstrates the superior characteristics of the new G‐REIT. Substantial short‐term capital flows from existing vehicles to G‐REITs are, however, unlikely. Instead the temporary exit tax will foster an economically beneficial reallocation of capital by private companies and public authorities through property sales to new domestic and international investors via G‐REITs.

The results indicate that G‐REITs have the potential to attract substantial funds in the medium term and facilitate a more integrated and developed German property and capital market.

This paper seeks to shed light on the question whether German real estate investment vehicles provide an effective hedge against inflation. To do so it aims to investigate open‐end real estate funds, special funds and real estate stocks.

Traditional approaches as well as cointegration and causality tests are applied to monthly and quarterly index data from 1992:04 to 2009:12 for the subject investment vehicles.

There is strong evidence that real estate returns are almost independent from inflation in the short run. None of the investigated investment vehicles provide a hedge against expected and unexpected inflation at different lags. In contrast, cointegration tests show that real estate stocks, open‐end funds and special funds do provide a hedge against inflation in the long term. Likewise, causality tests suggest that real estate performance is influenced by inflation in the long term.

The study still could not investigate closed‐end funds and G‐REITs. Yet, it does capture the most and comprehensive part of the indirect German real estate investment market.

Inflation‐hedging capabilities are of particular interest in periods of economic instability. Especially institutional investors with large asset portfolios seek to adjust their asset allocation to changing conditions.

To date, research papers on the subject of inflation‐hedging capabilities of real estate almost exclusively focus on REITs in the USA and in the UK. Research about the German real estate market and alternative investment vehicles is rare – partly due to a lack of transparency over the past – although international investors more and more adhere to the German real estate investment market.

Quite a substantial number of academic papers have examined the performance of both direct and indirect real estate relative to other investment assets. While these studies are valuable in the field of real estate investment performance measurements, a gap still exist in the literature on the comparative performance of investment assets in the various sectors of the stock markets of most emerging economies. This paper aims to fill the gap by providing analysis of the historical performance of real estate and other securities in the Nigerian capital market.

Annual open and closing market prices of shares and dividend of sampled listed companies in addition to data on all share index (ASI), consumer price index (CPI) and yield on 90‐days T‐Bill were obtained for the period 1999‐2005. These were then analysed using descriptive, risk‐adjusted measures and regression models.

The empirical evidence suggests that while real estate outperformed the market on a nominal basis, it underperformed the market stock on a risk‐adjusted basis over the time period of analysis. Unexpectedly, real estate security did not provide a good protection against inflation and is also uncorrelated with the stock market.

This paper provides empirical evidence of the investment characteristic of indirect real estate investment in Nigeria. The results suggest that real estate security does not after all provide a good substitute to direct real estate investment.

The paper aims to study the performance of crowdfunding REITs with respect to traditional REITs in order to evaluate the differences in the risk–return profile and their usefulness for a diversification strategy within the indirect real estate investments.

The paper considers the crowdfunding REITs introduced after the JOBS act in the United States and evaluates their performance and risk during the time period 2016–2018. Performance achieved by crowdfunding REITs is compared with other types of REITs in order to evaluate their usefulness for constructing an optimal portfolio strategy based on a standard mean variance approach.

Results show that the performance of crowdfunding REITs is more stable over time with respect to other REITs and the lack of correlation with traditional REITs may be exploited for constructing a more efficient diversified portfolio of indirect real estate investments.

Crowdfunding REITs have different performance with respect to standard REITs and, especially individual investors, may benefit from including this new investment opportunity in their portfolio.

The paper is the first study on the performance of the crowdfunding REITs that is evaluating their usefulness for a diversification strategy within the real estate sector.

The purpose of the paper is to examine the role of securitised real estate within the confines of a multi‐asset investment portfolio and to identify if indeed securitised real estate can afford investors the desired investment benefits of direct property investment whilst mitigating many of the recognised barriers and risks.

The paper employs a suite of analytical techniques; lead‐lag correlations are utilised to examine market dynamics between listed and direct real estate markets across jurisdictions. Grainger causality and co‐integration techniques are applied to examine the nature and extent of relationships between investment markets with optimal portfolio analysis utilised to explore the role of securitised real estate and the optimum weighting allocation within the confines of a multi‐asset investment portfolio.

The findings demonstrated the unresponsive nature of direct real estate markets relative to listed real estate markets – in some jurisdictions the extent of lag can be as much as 12 months. Whilst the research did not identify a Grainger causality relationship between listed and direct property markets across the jurisdictions, co‐integration analysis does infer trend reverting price behaviour in the long run (ten years) between direct and listed real estate markets. Optimal portfolio analysis serves to demonstrate the crucial role of real estate within a multi‐asset portfolio in terms of both mitigating risk and enhancing performance over the ten‐year time series. Indeed, the optimal portfolio analysis highlights the compatibility and complementarity of listed and direct real estate within a multi‐asset investment portfolio.

The question if securitised real estate is a viable proxy for direct property investment is as inconclusive as it is enduring. In contrast to the large embodiment of previous work, this paper adopts an international market perspective depicting the global nature of securitised real estate investment markets whilst also reflecting on the extent of co‐integration between asset classes and across jurisdictions during a period of extreme financial and economic distress.

This study tests the hypothesis of market integration between the securitised and the unsecuritised real estate market by examining the information contents of their respective ex‐post conditional volatility measures. The two markets are said to be integrated if the conditional volatility terms of one market do not contain incremental information for the ex‐post conditional volatility of another market. Our empirical results showed no evidence of the ex‐post returns of the direct real estate (PPI) market incorporating the market volatility of the securitized real estate asset. The ex‐post conditional volatility of the PPI market, which contains only information on the past shock and the past conditional volatility, is sufficient to statistically explain the variation in the log‐PPI price variations. However, there was significant evidence of incremental information flowing from conditional volatility of the unsecuritized property market to the securitized property market. Therefore, the securtized and unsecuritized real estate markets are integrated, but the integration is only uni‐directional. Some degree of segmentation is still observed as the information of property market (PPI) still has significant impacts on the returns of the property stock market.

The purpose of this paper is to evaluate how real estate returns behaved over the last two decades in relation to the other two asset types. This allows a direct evaluation of how investors make allocation choices and perceive risks and rewards offered by properties in the context of changing market conditions.

A de-smoothed MSCI index is used to reflect direct property returns and control for both income and capital returns within it. Indirect property returns are approximated by the RX Real Estate index. By supplementing this data with an analysis of trends in both space and capital markets it is possible to relate investor behavior to events affecting other assets.

It is possible to identify three distinctive periods characterized by different correlation of returns and behavior of investors: before the crisis of 2008, the crisis period between 2008 and 2012 and recovery afterwards. These appear to have corresponded to different stages of the economic cycle. Interestingly, performance of asset classes has also differed over that period suggesting that at different points in the cycle asset allocation decisions may have been made differently.

It appears that as investments over the last 15 years real assets in Germany behaved similarly to bonds. It is possible that this phenomenon was driven by an aversion to the stock market and its associated risk which became a concern after the financial crisis of 2008. Over the downturn that followed the market shock investors appear to have turned to assets with simpler risk profiles like direct real estate and government debt. On the other hand, the correlation between direct property investment index and stock returns has been found to be small but negative. This shows not only that the two asset classes were often driven by different factors but also suggests that diversification was, at least theoretically, possible.

Direct real estate investment returns have repeatedly been found to exhibit characteristics similar to those found in bond as well as equity markets (Eichholtz and Hartzell, 1996; Clayton and MacKinnon, 2003) but little research examines the correlation between returns offered by those asset classes in a mature financial and property market. In addition, the recent financial crisis provided a dynamically changing investment which is ideal for investigating structural relationships between assets.

Over a long period, even low inflation has an impact on portfolio value and households’ purchasing power. In such a context, inflation hedging should remain an important issue for investors. In particular, long-term investors, who are concerned with the protection of their wealth, seek to hold effective hedging assets. This study aims to demonstrate that residential assets in “Grand Paris” are a hedge against inflation and particularly against its unexpected component.

In this study, the physical residential markets in 127 communes in Paris and the Parisian first-ring suburbs are considered as potential asset classes. We simplified the analysis by clustering the 127 communes into five homogenous groups using ascending hierarchical classification (AHC). Then, we test the hedging ability of these groups within a mixed asset portfolios using both correlation and regression analysis.

This paper presents an analysis of the “Grand Paris” housing market and its inflation hedging ability with comparison to other financial asset classes. Results show that the five housing groups act as a highly positive hedge against unexpected inflation. Furthermore, cash and bonds seem to provide, respectively, a partial and an over hedge against unexpected inflation. Stocks act as a perverse hedge against unexpected inflation and provide no significant hedge against expected inflation. Also, indirect listed real estate demonstrates little correlation with inflation, which makes us reject its hedging ability contrary to physical residential real estate.

The inflation topic: although several researches exist that question the hedging property of real estate, very few concentrate on physical residential assets and to the best of the authors’ knowledge, this study is the only one that targets the “Grand Paris” area. Residential assets of the “Grand Paris” communes are confirmed to be a hedge against inflation and particularly against its unexpected component thanks to its capital appreciation rather than income one. Also, we show that the listed real estate in France (Sociétés d’Investissement Immobilier Cotée) does not provide the same hedging properties contrary to the US real estate investment trusts (REITs) who demonstrate this ability. Listed real estate could thus not be used interchangeably with housing to protect from inflation in the French market.

Protection of investors against inflation and in particular in the face of its return to France in 2022. Reassuring promoters and investors of the interest of residential investment projects in “Greater Paris” and of the potential that this holds.

Inflation takes a chunk out of the purchasing power of money and thereby erodes the real value of people’s finance. Investors and households who seek protection from inflation erosion should invest in direct housing, and in particular within areas that are experiencing an effective metropolization process.

The originality of the study is precisely relative to the geographical area studied. The latter has experienced favorable economic conditions for several years and offers interesting fundamentals to explore and exploit in investment strategies that prove capable of protecting against imminent inflation. The database is specific to this project and has been built through the compilation of several sources and with the support of BNP Paribas Real Estate.

In Germany, open‐ended funds represent the prevailing form of indirect real estate investment for retail and institutional investors. The purpose of this paper is to address whether significant performance differences occur between retail and institutional funds.

The relative fund performance of 137 funds investing in Germany and abroad are each measured against tailored Investment Property Databank performance benchmarks of direct property investments. Such benchmarks shall mimic the asset allocation of any particular fund. Data on retail fund performance are retrieved from the fund association BVI, the data on institutional fund performance are derived from the individual statements of accounts for each fund.

German open‐ended funds show significant differences in mean relative returns. The differences are mainly driven by the respective asset allocation of the funds, although relative returns against tailored benchmarks as dependent variables are supposed to offset country‐specific return fluctuations. Institutional investors tend to be better‐off than retail investors.

Liquidity holdings are not (and can not be) extracted from fund performance with the given data. In this regard, it must be acknowledged that retail funds by nature are induced to carry more liquidity. Second, the high significance of the factor asset allocation may indicate that country‐specific benchmarks could still be tailored more effectively. However, the conclusions from this paper remain unaffected. Ex post variations in the grouping of funds explain additional fund performance variance. In particular, it would be interesting to analyze the performance patterns of single‐investor funds and the influence or control that is being exercised by single‐investors in institutional funds.

Results give new insights into the performance of open‐ended real estate funds. The analysis helps explaining performance patterns and contributes to an improved understanding of the German indirect real estate investment market.