Do Different Price Points Exhibit Different Investment Risk and Return in Commercial Real Estate?
使用分位数回归方法估计商业房地产不同价格区间的价格指数，发现低价位房产波动性更小、总回报不低且可预测性更强，表明资产市场缺乏整合。
Conventional real estate price indexes provide a single measure for the path of asset prices over time (controlling for the quality of the representative or average property). Properties could, however, have different price dynamics based on the price segment in which they are traded. On the demand side, investors at different price points are differentiated by the amount of capital they have at their disposal and the type and source of financing. Smaller, private investors cluster at lower price points, whereas large institutions dominate the high price points. On the supply side, properties at different price points may serve different space markets with different types of tenants and may reflect different supply elasticity and land/structure value ratios. In this article, the authors use an unconventional approach, quantile regression, to estimate price indexes for different price segments in commercial real estate. Their results show that there are indeed large differences in price dynamics for different price points. These differences are suggestive of a lack of integration in the property asset market because the authors find apparent differences in the risk–return relationship. Lower-price-point properties exhibit less risk (in the form of volatility and cycle amplitude) but have no evidence of lower total returns. Lower-price-point properties also show greater momentum and thus greater predictability. <b>TOPIC:</b>Real estate