Value versus Growth International Real Estate Investment
利用美国和部分亚太城市的写字楼及零售物业回报数据，比较价值型与增长型投资策略的表现，发现价值型组合跑赢增长型组合，且风险变化无法解释价值溢价，而简单外推过去表现可能是更可信的解释。
We use office and retail properties return data for the United States and some Asia Pacific cities to ascertain the relative performance of value and growth investment strategies. The results reveal that value portfolios outperform growth portfolios. Furthermore, while the results show that risk varies over time, time‐varying risk analyses generally do not support the risk‐based explanation for the value premium. Similarly, conditional market regressions do not explain the value premium anomaly as all the alphas are positive and significant. Moreover, the results imply that naïve extrapolation of past performance could be a credible explanation for the value premium.