Diversification Attributes of Dutch REITs During Recessions:Return, Standard Deviation and Liquidity Characteristics ; Diversifieringsattribut hos nederländska REITs underlågkonjunkturer: Avkastning-, standardavvikelse-,samt likviditetsegenskaper
The objective of this thesis is to determine the performance of Dutch REITs and liquidity aspects during recessions and economic upswings as well as correlation with other asset classes to gain further knowledge in the field ofreal estate investment and asset performance during certain time periods. This is achieved through a quantitative analysis of historical daily returns, standard deviation and transaction volume of shares regarding REITs and other assets that usually pertain to an investor’s portfolio. The analysis covers the time-period just prior to the global financial crisis up until... Mehr ...
Verfasser: | |
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Dokumenttyp: | Student thesis |
Erscheinungsdatum: | 2020 |
Verlag/Hrsg.: |
KTH
Fastigheter och byggande |
Schlagwörter: | REITs / Netherlands / Real Estate / Mixed-Asset Portfolio / Liquidity / Performance / Diversification / Nederländerna / Fastigheter / Investeringsportfölj / Likviditet / Diversifikation / Engineering and Technology / Teknik och teknologier |
Sprache: | Englisch |
Permalink: | https://search.fid-benelux.de/Record/base-28587227 |
Datenquelle: | BASE; Originalkatalog |
Powered By: | BASE |
Link(s) : | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-277894 |
The objective of this thesis is to determine the performance of Dutch REITs and liquidity aspects during recessions and economic upswings as well as correlation with other asset classes to gain further knowledge in the field ofreal estate investment and asset performance during certain time periods. This is achieved through a quantitative analysis of historical daily returns, standard deviation and transaction volume of shares regarding REITs and other assets that usually pertain to an investor’s portfolio. The analysis covers the time-period just prior to the global financial crisis up until the beginning of the financial crisis caused by Covid-19. Analyzed data display some correlation between REITs and other assets. However, the data still implies some diversification benefits ofincorporating REITs in a portfolio during all economic states through the time periods with both the objective tominimize risk i.e. standard deviation, and to maximize return. The liquidity results on offset-time efficiency is comparable with other assets stock, which suggests that REITs are as liquid as other stock and thus is more liquid than direct real estate investments. In conclusion the data does support some diversification benefits of including Dutch REITs in a Netherlands-based investment portfolio. However, to what extent can not be determined, in part because of individual investors preferences, beliefs, and behavior, but also because of additional factors, such as dividends, that affect the value of REITs to an actual investor. ; Syftet med arbetet är att fastställa Nederländska REITs prestanda och likviditet under lågkonjunkturer och ekonomiska uppgångar samt korrelationen med andra tillgångsklasser för att få ytterligare kunskap inom området fastighetsinvesteringar och investeringstillgångars prestanda under vissa tidsperioder. Detta uppnås genom en kvantitativ analys av historisk marknadsutveckling, standardavvikelse samt transaktionsvolym av antalet aktier. Det är REITs tillsammans med tillgångar som vanligtvis hänför ...