IDEAS home Printed from https://ideas.repec.org/a/bla/reesec/v17y1989i4p463-481.html
   My bibliography  Save this article

Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns

Author

Listed:
  • David Geltner

Abstract

This paper estimates the systematic risk (or “beta”) of unsecuritized investment grade commercial real estate, as represented by the FRC and PRISA indices of institutional real estate holdings. Systematic risk defined with respect to national consumption is compared to systematic risk defined with respect to the stock market. Also, the risk estimates are explicitly adjusted to account for “smoothing” in appraisal‐based aggregate level returns data. The systematic risk of these real estate indices appears to be virtually zero with respect to the stock market, even after correcting for smoothing, but substantially positive with respect to national consumption.

Suggested Citation

  • David Geltner, 1989. "Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(4), pages 463-481, December.
    • Handle: RePEc:bla:reesec:v:17:y:1989:i:4:p:463-481
    DOI: 10.1111/1540-6229.00504
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1540-6229.00504
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1540-6229.00504?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Kenneth M. Lusht, 1988. "The Real Estate Pricing Puzzle," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 16(2), pages 95-104, June.
    2. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
    3. W. B. Brueggeman & A. H. Chen & T. G. Thibodeau, 1984. "Real Estate Investment Funds: Performance and Portfolio Considerations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 333-354, September.
    4. David Hartzell & John Hekman & Mike Miles, 1986. "Diversification Categories in Investment Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(2), pages 230-254, June.
    5. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, "undated". "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers 7-89, Wharton School Rodney L. White Center for Financial Research.
    6. Gau, George W, 1984. "Weak Form Tests of the Efficiency of Real Estate Investment Markets," The Financial Review, Eastern Finance Association, vol. 19(4), pages 301-320, November.
    7. Mayers, David, 1976. "Nonmarketable Assets, Market Segmentation, and the Level of Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(1), pages 1-12, March.
    8. Roger G. Ibbotson & Laurence B. Siegel, 1984. "Real Estate Returns: A Comparison with Other Investments," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 219-242, September.
    9. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, "undated". "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers 07-89, Wharton School Rodney L. White Center for Financial Research.
    10. Breeden, Douglas T & Gibbons, Michael R & Litzenberger, Robert H, 1989. " Empirical Tests of the Consumption-Oriented CAPM," Journal of Finance, American Finance Association, vol. 44(2), pages 231-262, June.
    11. George W. Gau, 1985. "Public Information and Abnormal Returns in Real Estate Investment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(1), pages 15-31, March.
    12. Fama, Eugene F. & Schwert, G. William, 1977. "Human capital and capital market equilibrium," Journal of Financial Economics, Elsevier, vol. 4(1), pages 95-125, January.
    13. Mayers, David, 1973. "Nonmarketable Assets and the Determination of Capital Asset Prices in the Absence of a Riskless Asset," The Journal of Business, University of Chicago Press, vol. 46(2), pages 258-267, April.
    14. Mike Miles & Tom McCue, 1984. "Commercial Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 355-377, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
    2. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    3. Kent Wang & Jiawei Li & Shicheng Huang, 2013. "Bad beta good beta, state-space news decomposition and the cross-section of stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 587-607, June.
    4. Balduzzi, Pierluigi & Robotti, Cesare, 2010. "Asset pricing models and economic risk premia: A decomposition," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 54-80, January.
    5. Magdalena Mikolajek-Gocejna, 2021. "Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 370-395.
    6. Ravi Jagannathan & Srikant Marakani & Hitoshi Takehara & Yong Wang, 2012. "Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns," Management Science, INFORMS, vol. 58(3), pages 507-522, March.
    7. Lamont, Owen A., 2001. "Economic tracking portfolios," Journal of Econometrics, Elsevier, vol. 105(1), pages 161-184, November.
    8. repec:wyi:journl:002153 is not listed on IDEAS
    9. David C. Ling & Andy Naranjo, 1999. "The Integration of Commercial Real Estate Markets and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(3), pages 483-515, September.
    10. Armonat, Stefan & Pfnür, Andreas, 2002. "Basel II and the German credit crunch?," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35585, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    11. John H. Cochrane, 1989. "Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle," NBER Working Papers 3212, National Bureau of Economic Research, Inc.
    12. Chiang, I-Hsuan Ethan & Liao, Yin & Zhou, Qing, 2021. "Modeling the cross-section of stock returns using sensible models in a model pool," Journal of Empirical Finance, Elsevier, vol. 60(C), pages 56-73.
    13. Ashley Lim & Yihui Lan & Sirimon Treepongkaruna, 2020. "Asset pricing and energy consumption risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3813-3850, December.
    14. Lemmen, J.J.G. & Eijffinger, S.C.W., 1995. "Financial integration in Europe : Evidence from Euler equation tests," Discussion Paper 1995-32, Tilburg University, Center for Economic Research.
    15. Canova, Fabio & Marrinan, Jane, 1996. "Reconciling the term structure of interest rates with the consumption-based ICAP model," Journal of Economic Dynamics and Control, Elsevier, vol. 20(4), pages 709-750, April.
    16. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
    17. Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
    18. Tim A. Kroencke, 2017. "Asset Pricing without Garbage," Journal of Finance, American Finance Association, vol. 72(1), pages 47-98, February.
    19. Anisha Ghosh & Christian Julliard & Alex P. Taylor, 2017. "What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 442-504.
    20. Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
    21. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross‐Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:reesec:v:17:y:1989:i:4:p:463-481. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/areueea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.