Performance determinants of European private equity real estate funds

Morri, Giacomo; Perini, Ugo; Anconetani, Rachele

doi:10.1108/jerer-04-2020-0025

Cited by 5 publications

(4 citation statements)

References 50 publications

(81 reference statements)

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“…Furthermore, a robust study by Delfim and Hoesli (2019) examines the effect of leverage on the performance of various types of real estate exposures using data from the United States from 1986 to 2017 (direct, non-listed, and listed) and it showed a significant impact on the relationship between them. More recent studies showed the effect of financial leverage on REITs' performance (Khairulanuwar & Chuweni, 2021;Haran et al, 2021;Morri et al, 2021;Milosevic-Avdalovic & Milenkovic, 2017). For instance, Morri et al (2021) stated that leverage improved the performance of REITs.…”

Section: Financial Leveragementioning

confidence: 99%

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The Impact of Financial Determinants on Malaysian Reits’ Performance

Sulaiman

Hing

Shahimi

et al. 2023

JBMA

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Property investment in Malaysia has experienced tremendous growth and is considered one of the prime investments by investors due to its stable return growth over the years. This study examined the effects of six financial determinants (earnings per share, debts to assets, price-to-book value, dividend yield, market capitalisation, and return on equity) on the annual return of Malaysian Real Estate Investment Trusts (REITs). The common performance indicator of company can be seen in the percentage change in stock price plus when the dividend paid at the end of the year is used to measure the annual return performance of REITs. A total of 154 firm year observations for a sample of 14 Malaysian REIT companies were examined for a period of 11 years (2008-2018) from the Bloomberg terminal. Multiple regression analysis was used to analyse the data. Findings showed that there is a positive relationship between earning per share, price-to-book value and dividend yield and REITs’ annual return. On the other hand, this study showed that there is no significant relationship between debts to assets and REITs’ annual return. The results also showed that market capitalisation and return on equity are negatively related to Malaysian REITs’ annual returns. Overall, the results highlighted two key features. First, earnings per share and return on equity should be used by investors and management to assess the profitability and operational efficiency of REITS. Second, the investors should use dividend yield as one of the key investment criteria when assessing REIT investment decisions. This study contributed to the literature in REITs by increasing the effects of the explanatory power of financial determinants on REITs’ annual returns.

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Section: Financial Leveragementioning

confidence: 99%

“…More recent studies showed the effect of financial leverage on REITs' performance (Khairulanuwar & Chuweni, 2021;Haran et al, 2021;Morri et al, 2021;Milosevic-Avdalovic & Milenkovic, 2017). For instance, Morri et al (2021) stated that leverage improved the performance of REITs. Thus, this study proposed:…”

Section: Financial Leveragementioning

confidence: 99%

The Impact of Financial Determinants on Malaysian Reits’ Performance

Sulaiman

Hing

Shahimi

et al. 2023

JBMA

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“…More broadly, there have been a number of important studies providing crucial information on the performance and characteristics of non-core real estate funds, especially since it has been established that investment style provides significant explanatory power over their performance Hoesli 2016, 2019). These studies have mainly focused on US and Europe non-listed real estate funds, (including Anderson et al 2016;Bollinger and Pagliari 2019;Fisher and Hartzell 2016;Fuerst and Matysiak 2013;Gang et al 2020;Hahn et al 2005;Kiehelä and Falkenbach 2015;Krautz and Fuerst 2015;Morri et al 2021;Pagliari 2020;Shilling and Wurtzebach 2012;Xing et al 2010), with a number of these papers drilling into specifics around non-listed real estate fund style, particularly non-core. The general research consensus is that non-core funds (i.e., value-add funds, opportunity funds) gave no discernible performance advantage over their core counterparts, plausibly due to higher fees, lesser effective management of funds (Bollinger and Pagliari 2019), and excessive exposure to leverage (Morri et al 2021;Pagliari 2020).…”

Section: Literature Reviewmentioning

confidence: 99%

“…These studies have mainly focused on US and Europe non-listed real estate funds, (including Anderson et al 2016;Bollinger and Pagliari 2019;Fisher and Hartzell 2016;Fuerst and Matysiak 2013;Gang et al 2020;Hahn et al 2005;Kiehelä and Falkenbach 2015;Krautz and Fuerst 2015;Morri et al 2021;Pagliari 2020;Shilling and Wurtzebach 2012;Xing et al 2010), with a number of these papers drilling into specifics around non-listed real estate fund style, particularly non-core. The general research consensus is that non-core funds (i.e., value-add funds, opportunity funds) gave no discernible performance advantage over their core counterparts, plausibly due to higher fees, lesser effective management of funds (Bollinger and Pagliari 2019), and excessive exposure to leverage (Morri et al 2021;Pagliari 2020). This is in addition to empirical evidence showing non-core funds' returns were more volatile (Mansley et al 2020), although they exhibited significant integration with direct real estate returns (Anderson et al 2016).…”

Section: Literature Reviewmentioning

confidence: 99%

The Performance and Diversification Potential of Non-Listed Value-Add Real Estate Funds in Japan

Hoesli

Newell

Marzuki

et al. 2022

JRFM

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In the aftermath of the COVID-19 pandemic, non-core investments are gaining traction amongst institutional investors due to the shifting preference towards investment vehicles that position higher on the risk–return curve. Non-listed value-add real estate funds in Japan are one such vehicle. This research develops a comprehensive bespoke benchmark total return index using the ANREV database to reflect the performance of Japan-focussed non-listed value-add real estate funds. We compare the performance of such funds with that of other asset classes and perform portfolio and regression analyses. We conclude that there are several advantages to investing in those funds, including: (1) strong absolute total return performance, (2) competitive risk-adjusted performance, and (3) significant portfolio diversification potential in a mixed-asset portfolio context. The strategic implications for real estate investors are also assessed.

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Determining Drivers of Private Equity Return with Computational Approaches

Lamothe-Fernández,

García-Argüelles,

Fernández-Miguélez

et al. 2024

Comput Econ

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Private equity (PE) represents the acquisition of stakes in non-listed companies, often long-term, with the objective of improving the performance and value of the company to obtain significant benefits at time of disinvestment. PE has gained particular importance in the global financial system for delivering superior risk-adjusted returns. Knowing the PE return drivers has been of great interest among researchers and academics, and some studies have developed statistical models to determine PE return drivers. Still, the explanatory capacity of these models has certain limitations related to their precision levels and exclusive focus on groups of countries located in Europe and the EE.UU. Therefore, in the current literature, new models of analysis of the PE return drivers are demanded to provide a better fit in worldwide scenarios. This study contributes to the accuracy of the models that identify the PE return drivers using computational methods and a sample of 1606 PE funds with a geographical focus on the world’s five regions. The results have provided a unique set of PE return drivers with a precision level above 86%. The conclusions obtained present important theoretical and practical implications, expanding knowledge about PE and financial forecasting from a global perspective.

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Performance determinants of European private equity real estate funds

Cited by 5 publications

References 50 publications

The Impact of Financial Determinants on Malaysian Reits’ Performance

The Impact of Financial Determinants on Malaysian Reits’ Performance

The Performance and Diversification Potential of Non-Listed Value-Add Real Estate Funds in Japan

Determining Drivers of Private Equity Return with Computational Approaches

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