The Role of the Real Estate Portfolios in Asset Pricing: A Fresh Perspective
Posted: 14 Mar 2018
Date Written: March 4, 2018
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
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