Style Analysis in Real Estate Markets: Beyond the Sector and Region Dichotomy
研究了将股票市场的风格分析应用于房地产投资的障碍，并通过多变量模型检验了四种投资风格（大小、高低收益、集中分散、长短租约）对组合收益的解释力，发现大小风格主导，且考虑新风格后alpha显著降低。
Although returns-based style analysis has been studied extensively in equity markets, applications of this valuable tool for measuring and benchmarking performance and risk in a real estate context are still relatively new. Previous studies in the real estate market have identified three investment categories: sectors, administrative regions, and economic regions. The low explanatory power of this type of categorization, however, reveals the need to extend returnsbased analysis within a real estate context. First, the authors review the obstacles to transferring equity style analysis to real estate. Then, they apply a multivariate model to randomly generated portfolios to test the significance of four real estate investment styles in explaining portfolio returns for various types of properties—small versus big, high yield versus low yield, concentrated versus diversified, and short lease versus long lease. Results show that alpha performance is significantly reduced when the new investment styles are accounted for; the small versus big property style is dominant. In addition, the authors find that the probability of obtaining alpha performance is dependent upon the actual exposure of funds to style factors and that both alpha and systematic risk levels are linked to the actual characteristics of portfolios. Overall, the authors’ results suggest that fund managers should use one of the four (and possibly other) style factors to set benchmarks and to analyze portfolio returns. <b>TOPICS:</b>Real estate, analysis of individual factors/risk premia, style investing, portfolio construction