Searching for a Common Factor in Public and Private Real Estate Returns
提出一种方法，通过调整杠杆和行业使REIT指数与直接房地产指数可比，提取共同房地产因子，发现该因子具有顺周期性且与公共市场标准系统性因子相关性低。
We introduce a methodology to estimate common real estate returns and cycles across public and private real estate markets. We first place REIT indices and direct real estate—NCREIF appraisal-based and transaction-based indices (NPI and NTBI)—on a comparable basis by adjusting for leverage and sector. We extract a common real estate factor, which is allowed to be persistent, from all these markets. Individual real estate indices load on this common factor and they also are driven by persistent, idiosyncratic shocks. The common real estate factor is procyclical and has low correlations with standard systematic factors from public markets. Short-run idiosyncratic deviations from the common real estate factor load on several capital market factors for REITs and on liquidity factors for direct real estate. <bold>TOPICS:</bold> <ext-link>Real estate</ext-link>, <ext-link>commodities</ext-link>, <ext-link>statistical methods</ext-link>