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Real Estate Returns: A Comparison with Other Investments

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Author Info
Roger G. Ibbotson
Laurence B. Siegel
Abstract

Real estate returns, measured unleveraged, have been between those of stocks and bonds over 1960-1982. Due to appraisal smoothing and imperfect marketability, one must be careful about directly comparing measured real estate returns with those on other assets. It is likely, however, that low correlations with stocks and bonds make real estate a diversification opportunity for traditional portfolio managers. In addition, the issue of how various assets are priced is addressed. While stocks are priced primarily on market or beta risk, and bonds are priced primarily on interest rate and default risk, the real estate pricing mechanism includes residual risk and non-risk factors such as taxes, marketability costs and information costs. Copyright American Real Estate and Urban Economics Association.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1540-6229.00320
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Publisher Info
Article provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.

Volume (Year): 12 (1984)
Issue (Month): 3 ()
Pages: 219-242
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:bla:reesec:v:12:y:1984:i:3:p:219-242

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=1080-8620

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  1. Winston T.H. Koh & Edward H.K. Ng, 2005. "Investing in Real Estate: Mortgage Financing Practices and Optimal Holding Period," Working Papers 03-2005, Singapore Management University, School of Economics. [Downloadable!]
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  2. A.B. Berkelaar & R. Kouwenberg, 1999. "Investing in a real world with mean-reverting inflation," Econometric Institute Report 182, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  3. Theodore M. Crone & Richard P. Voith, 1998. "Risk and return within the single-family housing market," Working Papers 98-4, Federal Reserve Bank of Philadelphia. [Downloadable!]
  4. Michael Devaney & William Rayburn, 1988. "When a House Is More Than a Home: Performance of the Household Portfolio," Journal of Real Estate Research, American Real Estate Society, vol. 3(1), pages 75-85. [Downloadable!]
  5. Catherine P. Montalto, 2002. "Retirement Wealth And Its Adequacy: Assessing The Impact Of Changes In The Age Of Eligibility For Full Social Security Benefits," Working Papers, Center for Retirement Research at Boston College 2001-07, Center for Retirement Research. [Downloadable!]
  6. Marc A. Louargand, 1992. "A Survey of Pension Fund Real Estate Portfolio Risk Management Practices," Journal of Real Estate Research, American Real Estate Society, vol. 7(4), pages 361-374. [Downloadable!]
  7. Julian Diaz, III, 1997. "An Investigation into the Impact of Previous Expert Value Estimates on Appraisal Judgment," Journal of Real Estate Research, American Real Estate Society, vol. 13(1), pages 57-66. [Downloadable!]
  8. K.C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1991. "Risk and Return on Real Estate: Evidence from Equity REITs," NBER Working Papers 3311, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. Mike Miles & John Pringle & Brian Webb, 1989. "Modeling the Corporate Real Estate Decision," Journal of Real Estate Research, American Real Estate Society, vol. 4(3), pages 47-66. [Downloadable!]
  10. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2006. "Investing for the long-run in European real estate," Working Papers 2006-028, Federal Reserve Bank of St. Louis. [Downloadable!]
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  11. David J. Hartzell & Robert H. Pittman & David H. Downs, 1994. "An Updated Look at the Size of the U.S. Real Estate Market Portfolio," Journal of Real Estate Research, American Real Estate Society, vol. 9(2), pages 197-212. [Downloadable!]
  12. Brent W. Ambrose & Hugh O. Nourse, 1993. "Factors Influencing Capitalization Rates," Journal of Real Estate Research, American Real Estate Society, vol. 8(2), pages 221-238. [Downloadable!]
  13. Robert Edelstein & Daniel Quan, 2006. "How Does Appraisal Smoothing Bias Real Estate Returns Measurement?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 41-60, February. [Downloadable!] (restricted)
  14. Brett Snyder, 1996. "EPA Guidelines for Regulatory Impact Analysis," Others 9602003, EconWPA. [Downloadable!]
  15. Arjun Chatrath & Youguo Liang, 1998. "REITs and Inflation: A Long-Run Perspective," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 311-326. [Downloadable!]
  16. Herrera, Santiago & Perry, Guillermo, 2001. "Tropical bubbles : asset prices in Latin America, 1980-2001," Policy Research Working Paper Series 2724, The World Bank. [Downloadable!]
  17. Lori L. Taylor, 1998. "Does the United States still overinvest in housing?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q II, pages 10-18. [Downloadable!]
  18. Fuad Hasanov & Douglas Dacy, 2005. "Measuring and Analyzing Returns on Aggregate Residential Housing," Finance 0510005, EconWPA. [Downloadable!]
  19. G. Donald Jud & John D. Benjamin & G. Stacy Sirmans, 1996. "What Do We Know about Apartments and Their Markets?," Journal of Real Estate Research, American Real Estate Society, vol. 11(3), pages 243-258. [Downloadable!]
  20. Marc Simpson & Sanjay Ramchander & James Webb, 2007. "The Asymmetric Response of Equity REIT Returns to Inflation," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 513-529, May. [Downloadable!] (restricted)
  21. Arnold L. Redman & Herman Manakyan & Kartono Liano, 1997. "Real Estate Investment Trusts and Calendar Anomalies," Journal of Real Estate Research, American Real Estate Society, vol. 14(1), pages 19-28. [Downloadable!]
  22. Theodore M. Crone & Richard P. Voith, 1996. "Risk and return in the single-family housing market," Working Papers 96-16, Federal Reserve Bank of Philadelphia. [Downloadable!]
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