Transactions‐Driven Commercial Real Estate Returns: The Panacea to Asset Allocation Models?
研究用交易数据而非评估值构建商业地产回报序列，发现交易驱动回报的方差更大，但组合层面风险分散，地产在均值方差模型中仍是主导资产类别。
A transactions‐driven commercial real estate return series is generated in this study to determine whether the reliance on appraised values in the estimation of real estate returns is the source of the reported underpricing of real estate relative to stocks, bonds, and bills when analyzed in a traditional mean‐variance setting. The reported underpricing of commercial real estate would be rational if transactions‐driven returns exhibit more variance than appraisal‐driven returns. While we find that transactions‐driven real estate returns have greater variance than appraisal‐driven returns for individual properties, most of the individual property risk is idiosyncratic and diversified away at the portfolio level. Real estate continues to be a dominate asset class in mean‐variance allocation models even when represented with transactions‐driven indices. 1