Real Estate and the Arbitrage Pricing Theory: Macrovariables vs. Derived Factors
比较因子载荷模型和宏观变量模型在解释房地产回报方面的表现，发现1980年后宏观变量模型更优，且两类模型均显示1980-1985年房地产投资信托表现优于市场。
Two empirical models are used to implement the arbitrage pricing theory: the factor loading model (FLM) and the macrovariable model (MVM). This study compares the ability of these two models to explain real estate returns using equity REIT returns as a proxy. Two tests are performed: a comparison of crosssectional adjusted‐R2's and the Davidson and Mackinnon test. The results show that while the two models perform equally well during the period 1974–1979, the MVM outperforms the FLM over the periods 1980–1985 and 1986–1991. In addition, both models suggest superior financial performance for EREITs relative to other investments in the market during the period 1980–1985.