Asset-Level Risk and Return in Real Estate Investments
研究发现商业房地产的个体回报均值和方差不随持有期变化，即使考虑现金流事件也如此。作者构建了一个均衡搜索资产定价模型来解释这一现象，对理解房地产价格动态及类似非流动性资产有参考价值。
Abstract In stark contrast with liquid asset returns, commercial real estate idiosyncratic return means and variances do not scale with the holding period, even after accounting for all cash flow-relevant events. This puzzling phenomenon survives controlling for vintage effects, systematic risk heterogeneity, and a host of other explanations. To explain the findings, I derive an equilibrium search-based asset-pricing model that, when calibrated, provides an excellent fit to transactions data. A structural model of transaction risk seems crucial to understanding real estate price dynamics. These insights extend to other highly illiquid asset classes, such as private equity and residential real estate.