Is There a Risk Premium Puzzle in Real Estate?
基于作者在美国房地产与城市经济学会的主席演讲，通过实证研究过去15年房地产投资者的预期，发现事前预期风险溢价过高，无法用标准经济模型解释，且历史平均回报会误导风险溢价估计。
This paper is based on my Presidential Address to the American Real Estate and Urban Economics Association delivered at Washington, D.C., in January 2003. The paper asks whether there is a risk premium puzzle in real estate. I examine this question by reporting on an empirical investigation of real estate investors' expectations over the last 15 years. The results suggest that ex ante expected risk premiums on real estate are quite large for their risk, too large to be explained by standard economic models. Further, the results suggest that ex ante expected returns are higher than average realized equity returns over the past 15 years because realized returns have included large unexpected capital losses. The latter conclusion suggests that using historical averages to estimate the risk premium on real estate is misleading.