1,721,043 research outputs found
How to evaluate risk for Italian real estate funds
No full textPurpose – The purpose of this paper is to define an approach useful to evaluate real estate funds on the specific characteristics of the Italian market and on the basis of international best practices.
Design/methodology/approach – The first step is to identify specific factors and portfolio
construction choices that could impact directly on the variability of inflows and outflows related to real estate fund. The analysis is realised constructing standard measures of financial and downside risk and identifying a panel model that allows to explain risk measure dynamics on the basis of some investments and portfolio characteristics. Results obtained are tested with an out of sample procedure in order to evaluate the type of misclassification risk related to each model. The second step is to evaluate the impact of debt policy on the risk assumed by a real estate funds. After an analysis of debt sustainability for each real estate unit on the basis of deadlines and amount of flows related to each
investment, the study proposed looks directly at the debt policy of listed real estate funds: the analysis
is aimed to evaluate the relationship between leverage choice and inflows/outflows variability and the
coherence between declared results and expected results for high-leveraged funds respect to the others. Findings – The results stemming from the use of a real estate database supplied by Beni Stabili Gestioni Societa` di Gestione del Risparmio showed that the portfolio’s construction choice impacts strongly on the variability of results of a real estate fund. The strict linkage between characteristics of debt and type of property makes difficult to evaluate the additional risk related to debt choice but on the basis of Italian market data are possible to point out the higher difficulties for high-leveraged funds to achieve the result communicated to the market (the so-called target IRR).
Originality/value – The value added of the paper is to study the relevance of specific risk factors respect to portfolio’s ones in the evaluation of risk exposure for a real estate portfolio and the impact of the leverage choices on the variability of inflows and outflows related to the real estate investments
Le caratteristiche del multi-affidamento nei fondi immobiliari italiani quotati
No full textIl funding dei fondi immobiliari italiani si realizzata tramite l'emissione di quote e il finanziamento da pate di intermediari finanziari. Il fondo ha la facoltà di finanziarsi da un solo intermediario o di assumere esposizioni multiple verso diversi creditori anche se la soluzione del multi-affidamento rimane ad oggi utilizzata da un numero limitato di fondi.
In linea generale, il multi-affidamento potrebbe rappresentare una soluzione per segnalare al mercato la qualità degli investimenti realizzati e il fondo potrebbe attendersi una risposta positiva dal mercato in termini di maggiore domanda delle quote emesse. L'analisi proposta si è focalizzata sulle caratteristiche del debito assunto da fondi mono-affidati rispetto a quelli multi-affidati al fine di evidenziare eventuali vantaggi legati al ricorso a finanziatori multipli. I risultati ottenuti evidenziano che il ricorso al multi-affidamento permette di aumentare la capacità di raccolta e offre anche maggiori opportunità di sostituire l'intermediario di riferimento durante la vita del fondo. Gli intermediari che finanziano molteplici fondi offrono importi finanziati medi maggiori e sono meno esposti al rischio di essere sostituiti durante la vita del fondo
La struttura finanziaria del fondi immobiliari italiani: principi, caratteristiche ed evidenze empiriche
No full textIl rischio del portafoglio immobiliare: volatilità dei flussi finanziari e variabili rilevanti
No full textLa comunicazione al mercato del rischio immobiliare: una verifica empirica per le SGR immobiliari italiane
No full textIl rischio dei flussi finanziari legati all’investimento immobiliare: evidenze empiriche dal mercato italiano
No full textL’investimento immobiliare si caratterizza per una forte variabilità dei flussi finanziari legati all’investimento che dipendono non solo dalle caratteristiche dei singoli immobili ma anche dai criteri adottati per la costruzione del portafoglio e dalle scelte di indebitamento. Le caratteristiche peculiari dei veicoli di investimento immobiliare indiretto italiani rendono solo parzialmente applicabili alcuni degli approcci consolidati presentati nella letteratura internazionale e evidenziano l’esigenza di studiare alcuni accorgimenti per definire modelli adeguati per tale realtà.
L’articolo presenta un’analisi empirica su un database di immobili gestiti da Beni Stabili Gestioni SGR. I risultati ottenuti mostrano che il rischio è influenzato maggiormente dalle scelte di costruzione di portafoglio rispetto alla capacità di selezionare le migliori opportunità di investimento.
La politica di indebitamento deve essere considerata separatamente valutando la sostenibilità del debito in funzione dell’importo e la variabilità dei flussi attesi
Risk diversification in a real estate portfolio: evidence from Italian market
No full textPurpose – In real estate industry, managers’ choices in portfolio construction impact directly on the performance of real estate fund. Looking at the literature, real estate diversification criteria are related to tenants’ characteristics, to endogenous and exogenous risk and to financial choices. The aim of the paper is to study the role of different risk profiles in the investment selection and in the construction of an efficient real estate portfolio.
Design/methodology/approach – The first step is to find out an investment selection model based on the main risk factors. The aim was to check the ability of qualitative criteria (tenant, exogenous, endogenous and financial risks) to identify ex ante the best investment opportunities. The observation of the portfolios’ composition on the efficient frontier and the proximity of individual property to the efficient frontier point out which risk factors are more important. The second step is to define a model to construct a portfolio, with non correlated investments, based on the main risk factors. This ability was tested by comparing the classifications made according to quality criteria, which can potentially be used ex ante to construct a diversified portfolio, with the results of cluster analysis. The results from the cluster analysis, free from quality profiles, are therefore considered as the best diversification strategy.
Findings – The results stemming from the use of a real estate database supplied by Fimit SGR (Unicredit banking group) showed that an ex ante study of risk profiles can help to identify those investment opportunities which are more or less near to the efficient frontier, although there is no prevailing criterion to identify a portfolio able to maximise investment diversification benefits. To identify more efficient portfolio is necessary to define an evaluation approach that considers simultaneously different risk profiles of real estate investments.
Originality/value – The paper considers the Italian market, a young market for institutional real estate investments characterised by high growing opportunities. The value added of the paper is to study the relationship of different real estate specific risks considered in literature (tenant risk, endogenous and exogenous risk) and financing choices in order to define a more complete model to evaluate real estate portfolios
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