Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices
提出“恒定流动性价值”概念，并构建计量模型同时估计标准交易价格指数和恒定流动性指数。应用于NCREIF数据库发现，恒定流动性价值在时间上领先于交易和评估指数，且波动性和周期幅度更大，对投资策略有重要影响。
Liquidity in private asset markets is notoriously variable over time. Therefore, indices of changes in market value that are based on asset transaction prices will systematically reflect intertemporal differences in the ease of selling a property. We define and develop a concept of “constant‐liquidity value” in the context of a model that is characterized by pro‐cyclical volume of trading. We then present an econometric model that allows for estimation of both a standard transaction‐based price index and a constant‐liquidity index. Our application to the NCREIF database reveals that, in the case of institutional commercial real estate investment, constant‐liquidity values tend to lead transaction‐based and appraisal‐based indices in time, and also to display greater volatility and cycle amplitude. The differences can be significant for strategic investment policy viewed from a mean‐variance portfolio optimization perspective.