A Test of a Buying Rule for “Underpriced” Apartment Buildings
利用公寓楼重复销售数据检验交易规则：通过回归估计房产价值，若实际价格低于估值则视为“低估”，计算其经风险调整后的回报，发现“低估”房产虽有更高增值回报，但风险调整后差异不显著。
Apartment‐building repeat‐sales data are used to test a trading rule. Property values are estimated through regression; if the actual price is less than the estimated value, the property may be “undervalued.” Returns are calculated for these “undervalued” properties and adjusted for risk using the Sharpe ratio. A test is done of whether these ratios are significantly different for different portfolios. The “undervalued” properties have higher appreciation returns, but once these are adjusted for risk, the differences in returns are not significant. The paper contributes to the real estate efficiency literature and suggests a workable method for comparing the performance of real estate portfolios on a risk‐adjusted basis.