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

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  • 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
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    References listed on IDEAS

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