Η δομή και η απόδοση των ΔΑΚ πάνω σε ακίνητη περιουσία
View/
Keywords
ΔΑΚ ; ΔΑΚ σε ακίνητη περιουσία ; Alpha ; Beta ; Σφάλμα παρακολούθησης ; Συσχέτιση ; Ακίνητη περιουσία ; NCREIF ; HPI ; NAREIT ; S&P 500Abstract
In this postgraduate dissertation the structure and the performance of 14 (13 for the American and 1 for the European market) Real Estate Exchange Traded Funds (TEFs) are examined. Specifically, the structural elements of the Real Estate ETFs as well as the characteristics of their returns such as performance, standard deviation and the ability to follow their underlying indices are demonstrated. This is achieved by studying the constant term (alpha), the slope (beta) and the standard error of the linear regression between the returns of the ETFs and their underlying indices. Also, the tracking error is measured, which measures the deviation of the returns of the ETFs in relation to the underlying indices. Finally, the correlation between the returns of the subject ETFs and Real Estate returns as they are measured by NCREIF for the USA and EU House Price Index for the Europe is considered. At the same time, the correlation between the returns of the subject ETFs and capital markets as they are represented by S&P 500, NAREIT and Eurostoxx 600 is investigated. The results indicate that the RE ETFs satisfactorily their indices as the alphas are in most ETFs statistically not significant while the betas are very close to the unity. Also, the tracking error is positive as measured by two more methods other than linear regression standard error method which shows that all ETfs present deviation from their indices. Finally, the returns Real Estate ETFs are not correlated with the returns of real estate indices while they are strongly correlated with the returns of stock market indices. Therefore, investing in RE ETFs cannot substitutes real estate investment.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με ειδίκευση στις Χρηματοδοτήσεις και Επενδύσεις - Finance and InvestmentsDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
66Language
Greek
Except where otherwise noted, this item's license is described as
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα