Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns
估计了未证券化投资级商业房地产的系统性风险，发现其对股票市场的风险几乎为零，但对国民消费的风险显著为正，并校正了评估数据中的平滑效应。
This paper estimates the systematic risk (or “beta”) of unsecuritized investment grade commercial real estate, as represented by the FRC and PRISA indices of institutional real estate holdings. Systematic risk defined with respect to national consumption is compared to systematic risk defined with respect to the stock market. Also, the risk estimates are explicitly adjusted to account for “smoothing” in appraisal‐based aggregate level returns data. The systematic risk of these real estate indices appears to be virtually zero with respect to the stock market, even after correcting for smoothing, but substantially positive with respect to national consumption.