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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Risk Factors of Swiss Real Estate Funds |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Number of Pages | 74 |
| Date | 2014 |
| Abstract Text | Executive Summary This thesis characterizes the risk factors of Swiss real estate funds. Factors that apply to individual properties are not considered, but only those that differentiate individual real estate funds from each other and from other investments. The characterization will be achieved by analysing the legal situation, taxes and regulatory framework. Risks of regulation changes are outlined and evaluated theoretically. The funds are set in contrast to the whole Swiss real estate market, and compared to other direct and indirect investment instruments. Moreover in a second, empirical part, factors that cause variation in the share premium between individual funds are identified. For this, a coefficient (Geo-Dist) is created that indicates the geographical distribution of a fund’s property portfolio. This coefficient is combined with a set of other factors; debt ratio (Leverage), fund size (Index Weight), and share of residential properties (Residential). These are then tested on their effects on the (liquidation-tax adjusted) premiums of all real estate funds listed on the SIX Swiss Exchange, by means of a multipleregression analysis. The results show significant effects of debt ratio (Leverage) and share of residential properties (Residential), but none for the other factors. Eventually, the returns of the real estate fund index is regressed on stock- and bond market indices to reveal the respective market risks. The results show minor but significant sensitivity to stock market risk, but none for bond market risk. |
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