The SOCIMIs in Spain. An investment opportunity in the real estate sector

[EN] The purpose of the present work is to analyze the SOCIMIs (Real estate listed investment trusts in Spain), its performance and its potential as a diversification asset between June 2014 and December 2017. The tax advantages they offer, the main incentive for the creation of these types of compa...

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Autores: López Penabad, Mª Celia, Vázquez Parcero, Adrián
Tipo de recurso: artículo
Fecha de publicación:2020
País:España
Institución:Universidad del País Vasco
Repositorio:Addi. Archivo Digital para la Docencia y la Investigación
OAI Identifier:oai:addi.ehu.eus:10810/42364
Acceso en línea:http://hdl.handle.net/10810/42364
Access Level:acceso abierto
Palabra clave:SOCIMIs
modified Sharpe ratio
Jensen’s alpha
performance
diversification
ratio de Sharpe modificado
alfa de Jensen
diversificación
G23
C10
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oai_identifier_str oai:addi.ehu.eus:10810/42364
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spelling The SOCIMIs in Spain. An investment opportunity in the real estate sectorLas SOCIMIs en España. Una oportunidad de inversión en el sector inmobiliarioLópez Penabad, Mª CeliaVázquez Parcero, AdriánSOCIMIsmodified Sharpe ratioJensen’s alphaperformancediversificationratio de Sharpe modificadoalfa de JensendiversificaciónG23C10[EN] The purpose of the present work is to analyze the SOCIMIs (Real estate listed investment trusts in Spain), its performance and its potential as a diversification asset between June 2014 and December 2017. The tax advantages they offer, the main incentive for the creation of these types of companies, are bringing about an increase in development of real estate investment in Spain, which is behind other developed markets where they are generally called REITs (Real Estate Investment Trusts). First, the characteristics, operation, evolution in the market, portfolios and shareholders’ composition are studied. Next, the analysis shows high performance levels measured by the modified Sharpe Ratio and the Jensen’s Alpha for the main SOCIMIs on the market as well as a high portfolio diversification potential demonstrated by the Markowitz Efficient Frontier Model. SOCIMIs are characterized by being less risky investments than the market in general. Compared to traditional Real estate listed companies on the continuous market, SOCIMIs show better performance and lower levels of risk and, in general, all the companies studied –SOCIMIs and traditional Real estate listed companies- can be defined as defensive investments, less risky than the market.[ES] El objetivo del presente trabajo es analizar las SOCIMIs, Sociedades Cotizadas de Inversión Inmobiliaria, su performance y su potencial como activo diversificador para el período desde junio de 2014 a diciembre de 2017. Las ventajas fiscales que ofrecen, principal incentivo a la hora de la creación de este tipo de sociedades, están permitiendo impulsar el desarrollo de la inversión colectiva inmobiliaria en España, no sin retraso con respecto a otros mercados desarrollados en donde en general son denominadas REITs (Real Estate Investment Trusts). Una vez estudiadas sus características, funcionamiento, evolución en el mercado, composición de sus carteras y accionariado, el análisis pone de manifiesto niveles de performance elevados medidos mediante la Ratio de Sharpe modificada y el Alfa de Jensen para las principales SOCIMIs del mercado. Se caracterizan por ser inversiones menos arriesgadas que el mercado en general, con un elevado potencial diversificador del riesgo en carteras, demostrado mediante el estudio de Fronteras eficientes propuesto por Markowitz, en comparación con empresas Inmobiliarias tradicionales cotizadas en el mercado continuo. Respecto a estas últimas, presentan mejor performance y menores niveles de riesgo, aunque en general todas las empresas estudiadas se pueden encuadrar en inversiones defensivas, menos arriesgadas que el mercado.Instituto de Economía Aplicada a la Empresa (Universidad del País Vasco UPV/EHU)202020202020info:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10810/42364reponame:Addi. Archivo Digital para la Docencia y la Investigacióninstname:Universidad del País VascoIngléshttp://www.ehu.eus/cuadernosdegestion/revista/en/published-issues/articulo?year=2020&vol=20&num=2&o=7info:eu-repo/semantics/openAccessoai:addi.ehu.eus:10810/423642026-06-18T09:23:17Z
dc.title.none.fl_str_mv The SOCIMIs in Spain. An investment opportunity in the real estate sector
Las SOCIMIs en España. Una oportunidad de inversión en el sector inmobiliario
title The SOCIMIs in Spain. An investment opportunity in the real estate sector
spellingShingle The SOCIMIs in Spain. An investment opportunity in the real estate sector
López Penabad, Mª Celia
SOCIMIs
modified Sharpe ratio
Jensen’s alpha
performance
diversification
ratio de Sharpe modificado
alfa de Jensen
diversificación
G23
C10
title_short The SOCIMIs in Spain. An investment opportunity in the real estate sector
title_full The SOCIMIs in Spain. An investment opportunity in the real estate sector
title_fullStr The SOCIMIs in Spain. An investment opportunity in the real estate sector
title_full_unstemmed The SOCIMIs in Spain. An investment opportunity in the real estate sector
title_sort The SOCIMIs in Spain. An investment opportunity in the real estate sector
dc.creator.none.fl_str_mv López Penabad, Mª Celia
Vázquez Parcero, Adrián
author López Penabad, Mª Celia
author_facet López Penabad, Mª Celia
Vázquez Parcero, Adrián
author_role author
author2 Vázquez Parcero, Adrián
author2_role author
dc.subject.none.fl_str_mv SOCIMIs
modified Sharpe ratio
Jensen’s alpha
performance
diversification
ratio de Sharpe modificado
alfa de Jensen
diversificación
G23
C10
topic SOCIMIs
modified Sharpe ratio
Jensen’s alpha
performance
diversification
ratio de Sharpe modificado
alfa de Jensen
diversificación
G23
C10
description [EN] The purpose of the present work is to analyze the SOCIMIs (Real estate listed investment trusts in Spain), its performance and its potential as a diversification asset between June 2014 and December 2017. The tax advantages they offer, the main incentive for the creation of these types of companies, are bringing about an increase in development of real estate investment in Spain, which is behind other developed markets where they are generally called REITs (Real Estate Investment Trusts). First, the characteristics, operation, evolution in the market, portfolios and shareholders’ composition are studied. Next, the analysis shows high performance levels measured by the modified Sharpe Ratio and the Jensen’s Alpha for the main SOCIMIs on the market as well as a high portfolio diversification potential demonstrated by the Markowitz Efficient Frontier Model. SOCIMIs are characterized by being less risky investments than the market in general. Compared to traditional Real estate listed companies on the continuous market, SOCIMIs show better performance and lower levels of risk and, in general, all the companies studied –SOCIMIs and traditional Real estate listed companies- can be defined as defensive investments, less risky than the market.
publishDate 2020
dc.date.none.fl_str_mv 2020
2020
2020
dc.type.none.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv http://hdl.handle.net/10810/42364
url http://hdl.handle.net/10810/42364
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv http://www.ehu.eus/cuadernosdegestion/revista/en/published-issues/articulo?year=2020&vol=20&num=2&o=7
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto de Economía Aplicada a la Empresa (Universidad del País Vasco UPV/EHU)
publisher.none.fl_str_mv Instituto de Economía Aplicada a la Empresa (Universidad del País Vasco UPV/EHU)
dc.source.none.fl_str_mv reponame:Addi. Archivo Digital para la Docencia y la Investigación
instname:Universidad del País Vasco
instname_str Universidad del País Vasco
reponame_str Addi. Archivo Digital para la Docencia y la Investigación
collection Addi. Archivo Digital para la Docencia y la Investigación
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,300719

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