Benchmarking Local Commercial Real Estate Returns: Statistics Meets Economics
针对交易稀疏资产难以估计细粒度指数的问题，本文对美国商业地产数据应用参数缩减方法，估算了1997-2014年按物业类型划分的城市级总收益指数，并验证了这些指数对地方物业收益具有显著的解释力。
Abstract It is challenging to estimate granular‐level indices of infrequently traded assets because data can be extremely scarce—the degree of freedom can be near zero if the estimation only uses local properties. This article applies a parameter‐reduction approach to U.S. commercial real estate data, and estimates metro‐level total return indices by property types from 1997 to 2014. This article further evaluates the economic merits of the indices. Test results suggest that the estimated metro indices have significant explanatory power, both in‐ and out‐of‐sample, for local property returns.