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The Composition of the Market Portfolio and Real Estate Investment Performance

Author

Listed:
  • Crocker H. Liu
  • David J. Hartzell
  • Terry V. Grissom
  • Wylie Greig

Abstract

This study investigates whether the composition of the market portfolio leads to different inferences on real estate performance. As a point of departure, this paper first explores whether the omission of assets in a market proxy leads to a biased measurement of investment performance. The study finds that ranking investment performance is not meaningless even though investment performance is inaccurately measured. Furthermore, the composition of the market proxy does not necessarily lead to different inferences on real estate investment performance although superior real estate investment performance arises from the omitted asset phenomenon and also from smoothing bias in general. Copyright American Real Estate and Urban Economics Association.

Suggested Citation

  • Crocker H. Liu & David J. Hartzell & Terry V. Grissom & Wylie Greig, 1990. "The Composition of the Market Portfolio and Real Estate Investment Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(1), pages 49-75.
  • Handle: RePEc:bla:reesec:v:18:y:1990:i:1:p:49-75
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    Cited by:

    1. Jun Han & Youguo Liang, 1995. "The Historical Performance of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 235-262.
    2. F.C. Neil Myer & James R. Webb, 1993. "The Effect of Benchmark Choice on Risk-Adjusted Performance Measures for Commingled Real Estate Funds," Journal of Real Estate Research, American Real Estate Society, vol. 8(2), pages 189-204.
    3. Brent Ambrose & Charles Cao & Walter D’Lima, 2016. "Real Estate Risk and Hedge Fund Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 52(3), pages 197-225, April.
    4. K. C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 431-452.
    5. Patrick J. Wilson & John Okunev, 1999. "Long-Term Dependencies and Long Run non-Periodic Co-Cycles: Real Estate and Stock Markets," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 257-278.
    6. Su-Jane Chen & Chengho Hsieh & Timothy W. Vines & Shur-Nuaan Chiou, 1998. "Macroeconomic Variables, Firm-Specific Variables and Returns to REITs," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 269-278.
    7. David C. Ling, 1993. "Probabilistic Valuation Models and Income Tax Asymmetries with an Application to the Analysis of Passive Loss Restrictions," Journal of Real Estate Research, American Real Estate Society, vol. 8(2), pages 205-220.

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