Onderzoek Economie en Management

Met ons onderzoek richten we ons op de thema's: arbeid, zorg en vergrijzing, banken en financiële markten, duurzaamheid, innovatie en ondernemerschap, marketing en consumentengedrag en marktordening.

PhD Defense M.R. van der Spek

Title: Improving Transparency of Indirect Private Real Estate
Supervisors: Prof. D. Brounen, Prof. R. Pownall


This PhD thesis focuses on the non-listed real estate fund market. This is a relatively new market, and a lack of data is one of the reasons why there is an insufficient amount of relevant academic literature. This thesis includes four studies dealing with this issue. The first study offers an overview of the performance of the non-listed real estate fund market in Europe and looks at the link between the commitment to improve sustainability on the one hand, and performance and firm characteristics on the other. Using regression analysis, the study shows that there is a strong link between sustainability measurement and policy and return, although most of this correlation is driven by governance related indicators. In addition, no significant difference has been found between early and late adopters.

The second study provides necessary additional transparency by analyzing private real estate fund fee structures and showing the main drivers of these fee loads. It is demonstrated that the average total fee load for closed-end funds equals 2.7 percent. Through regression and simulation, it is shown that Core and Value Add funds charge significantly lower performance fees compared with Opportunistic funds, while, surprisingly, there is no difference in management fees. Moreover, larger funds charge significantly less management fees, and investors can substantially reduce fees by controlling the amount of leverage and avoiding commitment fees and catch-ups.

The third study examines the risk and return profile of real estate debt funds, and how this form of real estate could fit the investor’s investment portfolio. Many investors have a problem understanding whether real estate debt is real estate or fixed income, and there is hardly any real estate literature to provide a solid answer. To cope with the lack of data on real estate debt investments, a simulation tool has been used to analyze this theme. Using a Monte Carlo simulation model, two different debt layers, mezzanine and senior, have been analyzed and compared to real estate investments. The results clearly show that senior debt is not really correlated to real estate, behaves more like fixed income and should be valued accordingly. Mezzanine, however, is correlated to real estate, especially when markets are falling, and should clearly be underwritten as such.

The final study analyzes the relationship between the amount of leverage and the interest rates of a real estate loan using a new indicator for the quality of the underlying real estate. The problem is that the correlation between leverage and spreads is often shown by the literature to be weak or even negative. The reason for this problem is the endogeneity of the loan-to-value choice. Higher leverage is typically provided to assets of higher quality, leading to lower rates. The solution for this problem is the introduction of an instrumental variable that measures the quality of the underlying building. The analysis demonstrates that the influence of leverage on the spread is strong. The quality of the underlying real estate is proven to be an important factor for lenders in setting the loan-to-value ratio.

The results of this research should be useful for a wide audience, including real estate investors, as it covers some very relevant strategic issues that real estate investors are faced with within their portfolios.

Location: Cobbenhagen building, Auditorium (access via Koopmans building)

Order the PhD thesis

Wanneer: 02 november 2018 14:00