Privately Versus Publicly Held Asset Investment Performance
针对经典资产定价方法难以评估私人持有资产绩效的问题，提出调整指数或组合资产特征以匹配参照系的新方法，并应用于商业房地产，发现1980-1998年间公开市场资产年回报率仍高出三个百分点以上。
Classic asset pricing is problematic as a method to assess privately held asset investment performance. We propose an alternative approach that involves adjusting the characteristics of assets constituting an index or portfolio to match the asset characteristics of a reference index or portfolio. This approach is applied to commercial real estate, where we create an index of REIT returns to compare to the NCREIF index. To enhance comparability, return indices are adjusted for partial-year financial data, leverage, asset mix and fees. Adjusted results over a 1980–1998 sample period show general convergence between the indices, although an annual return difference of over three percentage points remains in favor of public market asset ownership. Possible causes of the investment performance gap include liquidity and geography as missing risk factor adjustments, an unrepresentative sample period, and the form in which commercial real estate assets are held.