The Cross‐Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations
利用1986至2002年美国都市区数据，估计商业地产回报和租金增长的横截面离散度，发现其随时间变化且受宏观经济变量影响，对负面冲击反应不对称，且离散度与回报正相关，表明异质性波动被定价。
We estimate the cross‐sectional dispersions of returns and growth in rents for commercial real estate using data on U.S. metropolitan areas over the sample period 1986 to 2002. The cross‐sectional dispersion of returns is a measure of the risk faced by commercial real estate investors. We document that, for apartments, offices, industrial and retail properties, the cross‐sectional dispersions are time varying. Interestingly, their time‐series fluctuations can be explained by macroeconomic variables such as the term and credit spreads, inflation and the short rate of interest. The cross‐sectional dispersions also exhibit an asymmetrically larger response to negative economics shocks, which may be attributable to credit channel effects impacting the availability of external debt financing to commercial real estate investments. Finally, we find a statistically reliable positive relation between commercial real estate returns and their cross‐sectional dispersion, suggesting that idiosyncratic fluctuations are priced in the commercial real estate market.