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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Real Estate Investment - Quantifying the Impact of Macroeconomic Factors on the Performance of Swiss Real Estate Funds and Equity
Organization Unit
Authors
  • Lukas Müller
Supervisors
  • Thorsten Hens
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Number of Pages 39
Date August 2019
Zusammenfassung This paper aims to quantify the impact of macroeconomic factors on the performance of Swiss real estate funds and equity. For this reason, macroeconomic data on inflation and interest rates were obtained and analysed with respect to corresponding data on Swiss real estate funds and Swiss real estate stocks. The data on Swiss real estate funds and real estate stocks were both derived from a SIX listed index that has at least 75% of its assets located in Switzerland. Literature suggests that real estate and real estate vehicles are somewhat linked to interest rates and inflation. Most of these assumptions are derived from real estate to serve as a reliable hedge against inflation. Therefore, one may assume that real estate investment vehicles such as real estate funds or real estate stocks also possess some of these characteristics to a certain degree. With regard to interest rates, the underlying literature found some contra- dicting results in the context of real estate investment trusts. This motivates the investigation of interest rates’ and inflation’s role in the pricing of real estate investment vehicles. To perform an analysis of the respective impact of inflation and interest rates, a correlation analysis as well as several regression models were estimated. However, the analysis of this paper showed that it is difficult to draw general conclusions upon the underlying data. In general, only a small part of the variability can be explained. Furthermore, none of the included variables turned out to be statistically significant. In general, changes in inflation and changes in interest rates do not seem to have a major impact on the underlying data of real estate fund returns and real estate stock returns.
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