Premium deviations and return predictability in Swiss listed real estate funds

Purpose This study examines whether premium deviations in Swiss listed real estate funds predict subsequent relative returns and how premia evolve around capital increases. Design/methodology/approach The analysis uses monthly data from February 2010 to February 2023 and combines fund- and month-fixed-effects regressions with portfolio sorts and a descriptive event study. Findings Funds with relatively high premia subsequently underperform the sector benchmark over two- and three-month horizons. A low-premium long-only portfolio also earns positive factor-adjusted returns. Capital increases occur when premia are high relative to fund histories and coincide with premium declines, although the event-study design does not identify a causal issuance effect. Practical implications Relative premium measures may be useful for long-only allocation within the Swiss listed real estate fund market. Transaction costs and limited short-selling capacity constrain direct implementation of a low-minus-high strategy. Originality/value The paper documents short-horizon premium predictability in the comparatively underexplored Swiss listed real estate fund market, where reported net asset values are appraisal-based and trading frictions are material.