Real Estate for the Long Term: The Effect of Return Predictability on Long‐Horizon Allocations
研究了房地产回报的可预测性如何影响不同投资期限投资者的风险和最优配置，发现直接房地产的均值回归使长期风险降低，且最优配置随期限增加而增加。
We examine how the predictability of real estate returns affects the risk of, and optimal allocations to, real estate for investors of differing investment horizons. Returns to direct real estate are mean reverting, and risk decreases with horizon. This is driven by a tendency for property transaction prices to overshoot inflation. Mean reversion in real estate returns is weaker than that of equities, resulting in real estate having similar risk to equities for long‐term investors. However, optimal portfolios have large allocations to direct real estate at all horizons, and the allocation increases with horizon. Finally, we find that real estate investment trusts are a redundant asset class for investors with access to direct real estate as an asset class, but they do have a role in optimal allocations when direct property investment is not feasible.