The Impact of Market Imperfections on Real Estate Returns and Optimal Investor Portfolios
研究了房地产市场的不完善（如流动性差、住房的消费与投资双重属性、市场分割）如何影响资产定价和投资者最优投资组合，发现这些因素导致金融资产、收益型房地产和自住住房分别适用不同的定价模型。
This study investigates the consequences of several imperfections associated with real estate markets on pricing and optimal investor portfolios from a CAPM context. CAPM assumptions are relaxed to recognize illiquidity, the consumption and investment attributes of owner‐occupied housing, and a mildly segmented market structure. The study finds that relaxing the CAPM assumptions lead to a separate pricing paradigm for financial assets, income‐producing real estate and owner‐occupied housing respectively, that a “dividend effect” arises for real estate as the result of illiquidity, and that illiquidity reduces the extent to which investors hold real estate in their portfolios.