What Factors Determine International Real Estate Security Returns?
使用约束横截面回归，分离出共同因子、国家、物业类型、规模及价值/成长因子对国际房地产证券收益的影响，发现国家因子主导、规模负向影响，价值/成长因子波动大且影响显著。
We use constrained cross‐sectional regressions to disentangle the effects of various factors on international real estate security returns. Besides a common factor, pure country, property type, size and value/growth factors are considered. The value/growth measure that is used in this paper provides for each security the relative importance of the value and growth components, rather than a binary classification. The value/growth factor is found to be volatile and to have a substantial effect on returns over the period February 1990–April 2003. Country factors are the dominant factors, and size is shown to have a negative impact on returns. Statistical factors derived by means of cluster analysis explain about one third of specific returns on international real estate securities. The implication for portfolio managers is that failing to recognize the importance of the various factors leads to the portfolio being exposed to systematic risk.