Asset-Level Risk and Return in Real Estate Investments

• 成果类型: Article
• 署名作者: Sagi, Jacob S.
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa122
• 发表日期: 2021
• 页码: 3647
• 关键词: house prices; search; liquidity; time; equilibrium; valuation; DYNAMICS; equity; MARKET; HOME

摘要

In stark contrast with liquid asset returns, commercial real estate idiosyncratic return means and variances do not scale with the holding period, even after accounting for all cash flow-relevant events. This puzzling phenomenon survives controlling for vintage effects, systematic risk heterogeneity, and a host of other explanations. To explain the findings, I derive an equilibrium search-based asset-pricing model that, when calibrated, provides an excellent fit to transactions data. A structural model of transaction risk seems crucial to understanding real estate price dynamics. These insights extend to other highly illiquid asset classes, such as private equity and residential real estate.