The Substitutability of Real Estate Assets
研究了证券化房地产（如REITs）与基于评估的房地产资产之间的替代程度，发现两者价格行为不同，且受不同经济因素影响。
This paper investigates the degree of substitutability between securitized real estate assets and real estate assets whose prices are appraisal‐based. Given the insensitivity of unsecuritized asset's returns to the returns on stock market indices, equilibrium asset pricing models cannot be used to compare these two avenues of investment. Two assets are deemed substitutable if the information sets underlying unbiased, minimum error variance estimates of their pricing parameters are identical. The empirical evidence shows that the prices of the transactions‐based assets—real estate investment trusts and the stock price index of the home building industry—follow a random walk while the prices of the appraisal‐based assets—FRC/NCREIF indices—do not. The variance decompositions of the vector autoregressions also show that the level of economic activity helps predict the price indices of appraisal‐based assets while the stock market index and the term structure of interest rates are better predictors of the prices of transactions‐based assets