Är direktägda bostadsfastigheter en bättre investering än aktier?
En studie över riskjusterad avkastning
FastigheterAktierAvkastningRiskInvesteringRiskjusterad avkastningAlphaavkastningSharpekvotInvesteringsalternativÖveravkastningMarknadseffektivitet
Background:Investments in different forms have always been popular to every human being. For the most common investments, such as stocks and bonds, there are loads of information to gather for the investor. Historical data like risk, return, dividends and fundamental data like annual reports are often very easy to find, regarding these kinds of investments. The background of this thesis is the lack of market information in residential real estate investments. A problem with this investment is that there is lack of information regarding risk adjusted return for real estates, which this thesis intends to present.Objective:The objective with this thesis is to study which alternative, directly-owned residential estates or stocks, who generates the highest risk adjusted return. The objective is also to investigate what reasons there are in the differences between risk adjusted return in estates and stocks.Methodology:Regarding to the objective, this thesis is based on a mixed between qualitative and quantitative method with a deductive approach. Financial information is gathering from different real estate companies to calculate total return, dividend and growth of value. Interviews with real estate valuators and managers at companies are to be made, although to make appropriate assumptions and estimations of the financial information. The financial data regarding the stocks are gathering from the SIX-index.Conclusion: Directly-owned residential real estates, in positive growing cities, generate systematic risk- adjusted excess return relative stocks. Directly-owned residential estates have an excess returns on stocks, both regarding to return on market risk, but also regarding to return on total risk. The most important is however the relation between return and market risk. The reason for this is that our model for the relation return and market risk captures liquid risk, which not the standard deviation. I addition, market risk is the only sort of risk that investors, in an efficient market, get paid to take. We have found five main reasons for the abnormal returns in the estate markets; high transactions costs, lack of market information, large capital efforts, low illiquidity at the market and those residential estates requires some knowledge and commitment.