The Role of the Real Estate Portfolios in Asset Pricing: A Fresh Perspective

Posted: 14 Mar 2018

See all articles by Qi Shi

Qi Shi

Griffith University, Griffith Business School, Department of Accounting, Finance and Economics

Adrian (Wai-kong) Cheung

Flinders University

Date Written: March 4, 2018

Abstract

We develop a two-factor novel model incorporating the market excess return and alternative real estate portfolios. This setup of model and alternative real estate factor particularly brings the practitioners the significant perspective that how much the real estate portfolios is priced. The empirical evidences confirm the vital role of real estate factor in asset pricing with robust evidences, where the estimating portfolios are sorted in four different but popular anomalies. Two-factor real estate model not only performs fairly well in these various of portfolios, but also outperforms the capital asset pricing model (CAPM) in a distinct degree.

Keywords: a two-factor novel model; alternative real estate portfolios; anomalies

Suggested Citation

Shi, Qi and Cheung, Adrian, The Role of the Real Estate Portfolios in Asset Pricing: A Fresh Perspective (March 4, 2018). Available at SSRN: https://ssrn.com/abstract=3134205 or http://dx.doi.org/10.2139/ssrn.3134205

Qi Shi (Contact Author)

Griffith University, Griffith Business School, Department of Accounting, Finance and Economics ( email )

PMB 50
Gold Coast Queensland 9726
Australia

Adrian Cheung

Flinders University ( email )

GPO Box 2100
Adelaide S.A. 5001, SA 5063
Australia
+618 8201 5831 (Phone)

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